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The General Hull–White Model and Supercalibration
10 references·4 citing·28 second hopsampled
The General Hull–White Model and Supercalibration (2001)The General Hull–White Model and Supercal…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …LIBOR and swap market models and measures (1997)LIBOR and swap market models …Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Closed Form Solutions for Ter…Implied Trinomial Tress of the Volatility Smile (1996)Implied Trinomial Tress of th…Implied Binomial Trees (1994)Implied Binomial TreesBond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Bond and Option Pricing when Short Rates are Lognormal (1991)Bond and Option Pricing when …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …Option pricing: A simplified approach (1979)Option pricing: A simplified …A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions (2014)A generalized procedure for b…Equity Risk, Credit Risk, Default Correlation, and Corporate Sustainability (2010)Equity Risk, Credit Risk, Def…An artificial boundary method for the Hull–White model of American interest rate derivatives (2010)An artificial boundary method…A Front-Fixing Finite Element Method for the Valuation of American Options (2008)A Front-Fixing Finite Element…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)The valuation of options for alternative stochastic processes (1976)Empirical Performance of Alternative Option Pricing Models (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)Arbitrage Theory in Continuous Time (1998)Brownian Motion and Stochastic Calculus (2007)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Overview of Value at Risk (1997)Basel Committee On Banking Supervision (2010)Pricing American-style securities using simulation (1997)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Options on Leveraged Equity: Theory and Empirical Tests (1997)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)The Model-Free Implied Volatility and Its Information Content (2005)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates605 cited
  • 1996Implied Trinomial Tress of the Volatility Smile142 cited

Cited by

  • 2008A Front-Fixing Finite Element Method for the Valuation of American Options56 cited
  • 2014A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions18 cited
  • 2010Equity Risk, Credit Risk, Default Correlation, and Corporate Sustainability16 cited
  • 2010An artificial boundary method for the Hull–White model of American interest rate derivatives15 cited

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