Option and Futures Evaluation With Deterministic Volatilities
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- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- San-Lin Chung, 2000. "American option valuation under stochastic interest rates," Review of Derivatives Research, Springer, vol. 3(3), pages 283-307, October.
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- Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31.
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- Bick, Avi, 2012. "The relationship between reciprocal currency futures prices," Finance Research Letters, Elsevier, vol. 9(4), pages 194-201.
- Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
- Anh Ngoc Lai & Constantin Mellios, 2016. "Valuation of commodity derivatives with an unobservable convenience yield," Post-Print halshs-01183166, HAL.
- John Crosby, 2008. "Pricing a class of exotic commodity options in a multi-factor jump-diffusion model," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 471-483.
- Jamshidian, Farshid, 2007. "Exchange Options," MPRA Paper 4471, University Library of Munich, Germany, revised 14 Aug 2007.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
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