Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach
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- Viatcheslav Gorovoi & Vadim Linetsky, 2004. "Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 49-78.
- Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
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- Peter Cotton & Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar, 2004. "Stochastic Volatility Corrections for Interest Rate Derivatives," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 173-200.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Vyacheslav Gorovoy & Vadim Linetsky, 2007. "Intensity-Based Valuation Of Residential Mortgages: An Analytically Tractable Model," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 541-573.
- repec:wsi:ijtafx:v:07:y:2004:i:03:n:s0219024904002451 is not listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-16 (All new papers)
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