An Effective Approximation for Zero-Coupon Bonds and Arrow-Debreu Prices in the Black-Karasinski Model-Reference-Cited by-同舟云学术

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An Effective Approximation for Zero-Coupon Bonds and Arrow-Debreu Prices in the Black-Karasinski Model

Published:2014 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Stehlikova Beata,Capriotti Luca

Publisher

Elsevier BV

Reference18 articles.

1. Modelling Single-Name and Multi-Name Credit Derivatives;D O'kane;Wiley Finance Series,2008

2. Transform Analysis and Asset Pricing for Affine Jump-diffusions

3. An Equilibrium Characterization of the Term Structure;O A Vasicek;Journal of Financial Economics,1977

4. Pricing Interest-Rate-Derivative Securities;J Hull;Review of Financial Studies,1990

Cited by 4 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. The GARCH Linear SDE: Explicit Formulas and the Pricing of a Quanto CDS;SSRN Electronic Journal;2018

2. Wrong Way Risk Done Right;SSRN Electronic Journal;2015

3. Ho and Lee Model on a String;SSRN Electronic Journal;2015

4. Path Integral and Asset Pricing;SSRN Electronic Journal;2014

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