Bermudan option in Singapore Savings Bonds
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
https://link.springer.com/content/pdf/10.1007/s11147-020-09168-y.pdf
Reference14 articles.
1. Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46, 33–39.
2. Black, F., & Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47, 52–59.
3. Boyle, P., Tan, K. S., & Tian, W. (2001). Calibrating the Black–Derman–Toy model: Some theoretical results. Applied Mathematical Finance, 8, 27–48.
4. Brigo, D., & Mercurio, F. (2001). Interest rate models—Theory and practice with smile, inflation and credit. Berlin: Springer.
5. Chan, K. C., Andrew Karolyi, G., Longstaff, F. A., & Sanders, A. B. (1992). An empirical comparison of alternative models of the short-term interest rate. The Journal of Finance, 47(3), 1209–1227.
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