Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Radha Krishn Coonjobeharry"'
Publikováno v:
The Journal of Computational Finance. 18:129-161
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. Unfortunately, lattice methods have pitfalls, mainly in terms of accuracy, efficiency and ease of programming. This paper proposes a much
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2306fe646cde962d0e1cee99d2d8b3b1
https://doi.org/10.21314/jcf.2015.304
https://doi.org/10.21314/jcf.2015.304
Publikováno v:
International Journal of Theoretical and Applied Finance. 19:1650046
The current literature on convertible bonds (CBs) comprises only models where the stock price and the interest rate are governed by pure-diffusion processes. This paper fills a gap by developing and implementing a two-factor model where both underlyi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::38e38676e58d6c2558963d1ee837c82c
https://doi.org/10.1142/s0219024916500461
https://doi.org/10.1142/s0219024916500461
Publikováno v:
International Journal of Business Intelligence and Data Mining. 8:363
Jump-diffusion option pricing models have the ability to fit various implied volatility patterns observed in market option prices. In the partial differential equations framework, pricing an American put when the underlying follows a jump process req
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4a183fb4716fcc1fec5c9f7dd9dd22ee
https://doi.org/10.1504/ijbidm.2013.059261
https://doi.org/10.1504/ijbidm.2013.059261