Black's model in a negative interest rate environment, with application to OTC derivatives (Q2127359): Difference between revisions

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-.1007/s10287-021-00408-6
@@ Property / DOI: 10.1007/s10287-021-00408-6 / rank @@
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+https://doi.org/10.1007/s10287-021-00408-6
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+W3180827358
@@ Property / OpenAlex ID: W3180827358 / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+On the Heston Model with Stochastic Interest Rates
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@@ Property / cites work @@
+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
+Normal rank
@@ Property / cites work @@
+A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
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+Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
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@@ Property / DOI @@
+.1007/S10287-021-00408-6
@@ Property / DOI: 10.1007/S10287-021-00408-6 / rank @@
+Normal rank