Pages that link to "Item:Q4555139"

The following pages link to Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139):

Displayed 6 items.

• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) ‎ (← links)
• Black's model in a negative interest rate environment, with application to OTC derivatives (Q2127359) ‎ (← links)
• Stochastic pricing formulation for hybrid equity warrants (Q2129745) ‎ (← links)
• Option pricing under the Heston model where the interest rate follows the Vasicek model (Q5079996) ‎ (← links)
• (Q6141595) ‎ (← links)
• Asymmetric short-rate model without lower bound (Q6158399) ‎ (← links)