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Efficient Trees for CIR and CEV Short Rate Models
16 references·1 citing·21 second hop
Efficient Trees for CIR and CEV Short Rate Models (2007)Efficient Trees for CIR and CEV Short Rat…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance (2010)A Simplified Approach to Appr…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)An Intertemporal Capital Asset Pricing Model (1973)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)The Determinants of Credit Spread Changes (2001)Default Risk in Equity Returns (2004)The Cross‐Section of Volatility and Expected Returns (2006)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)
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References

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  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

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1,679 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
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    • 2010A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance22 cited