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Implementing Derivative Models
12 references·1 citing·33 second hop
Implementing Derivative Models (2013)Implementing Derivative ModelsImplementing Derivative Models (2013)Implementing Derivative ModelsEnergy derivatives : pricing and risk management (2000)Energy derivatives : pricing …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Advances in Futures and Options Research (1987)Advances in Futures and Optio…The valuation of compound options (1979)The valuation of compound opt…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of commodity contracts (1976)The pricing of commodity cont…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Multiscale Stochastic Volatility with the Hull–White Rate of Interest (2013)Multiscale Stochastic Volatil…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Irreversibility, Uncertainty, and Investment (1990)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)The Impact of Uncertainty Shocks (2009)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Capital markets research in accounting (2001)
this work references cited by second hop

References

  • 1994Investment Under Uncertainty.9,566 cited
  • 1994Investment under Uncertainty9,092 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1979The valuation of compound options1,107 cited
  • 1997The Complete Guide to Option Pricing Formulas537 cited
  • 2000Energy derivatives : pricing and risk management498 cited
  • 1987Advances in Futures and Options Research175 cited
  • 2013Implementing Derivative Models76 cited

Cited by

  • 2013Multiscale Stochastic Volatility with the Hull–White Rate of Interest22 cited

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