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Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation
16 references·0 citing·35 second hop
Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation (2022)Hybrid Equity Swap, Cap, and Floor Pricin…A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (2017)A general framework for discr…The Theory of the Term Structure of Interest Rates (2011)The Theory of the Term Struct…On the Heston Model with Stochastic Interest Rates (2011)On the Heston Model with Stoc…Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Optimal Filtering of Jump Dif…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…American option pricing under GARCH by a Markov chain approximation (2001)American option pricing under…Using Hull-White Interest Rate Trees (1996)Using Hull-White Interest Rat…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An Analysis of Variable Rate Loan Contracts (1980)An Analysis of Variable Rate …On the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations with reflecting boundary conditions (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)Dynamic modeling and control of supply chain systems: A review (2007)Menu Costs and Phillips Curves (2007)Efficient Analytic Approximation of American Option Values (1987)Mean-Variance Hedging of Options on Stocks with Markov Volatilities (1995)Mathematics of Financial Markets (1999)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)Option pricing and Esscher transform under regime switching (2005)The Pricing of Options and Corporate Liabilities (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of Financial Decision Making. (1988)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)Nonparametric Pricing of Interest Rate Derivative Securities (1995)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Option pricing: A simplified approach (1979)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Information Quality and Long‐Run Risk: Asset Pricing Implications (2010)Investment Shocks and Asset Prices (2011)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
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  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,416 cited
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  • 1978On the term structure of interest rates659 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 1980An Analysis of Variable Rate Loan Contracts277 cited
  • 2011On the Heston Model with Stochastic Interest Rates248 cited
  • 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices193 cited
  • 1996Using Hull-White Interest Rate Trees168 cited
  • 2001American option pricing under GARCH by a Markov chain approximation150 cited
  • 2011The Theory of the Term Structure of Interest Rates117 cited
  • 2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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