Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models-Reference-Cited by-同舟云学术

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Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models

Published:1998 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Clewlow Les,Strickland Chris

Publisher

Elsevier BV

Reference24 articles.

1. Implied Volatility Functions in Arbitrage Free Term Structure Models;K I Amin;Journal of Financial Economics,1994

2. Numerical Valuation of High Dimensional American Options;J Barraquand;Journal of Financial and Quantitative Analysis,1995

3. The Pricing of Commodity Contracts;F Black;Journal of Financial Economics,1976

4. The Market Model of Interest Rate Dynamics

5. Multi-Factor Gaussian Heath-Jarrow-Morton;A Brace;Mathematical Finance,1995

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Residual Shape Risk on Natural Gas Market with Mixed Jump Diffusion;SSRN Electronic Journal;2019

2. A multi-factor Markovian HJM model for pricing American interest rate derivatives;Review of Quantitative Finance and Accounting;2007-12-13

3. MultiFactor Valuation of Floating Range Notes;Mathematical Finance;2004-01

4. Value at Risk with Informed Traders, Herding, and the Optimal Structure of Trading Divisions;SSRN Electronic Journal;2002

5. Path Dependent Option Pricing: The Path Integral Partial Averaging Method;SSRN Electronic Journal;2000

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