Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market

Contributions to Management Science - Operations Research Models in Quantitative Finance ◽

10.1007/978-3-642-46957-2_11 ◽

1994 ◽

pp. 210-234

Author(s):

Rosella Giacometti ◽

Carmen Nuzzo

Keyword(s):

Interest Rate ◽

Option Pricing ◽

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A New Approach to Estimating Interest Rate Option Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.1341871 ◽

2009 ◽

Author(s):

Xiaoquan Liu ◽

Jing-Ming Kuo ◽

Jerry Coakley

Keyword(s):

Interest Rate ◽

Option Pricing ◽

New Approach ◽

Pricing Kernels

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Study on European put option pricing with underlying asset zero-coupon bond and interest rate following the Vasicek model with jump

Journal of Physics Conference Series ◽

10.1088/1742-6596/1725/1/012092 ◽

2021 ◽

Vol 1725 ◽

pp. 012092

Author(s):

P C Lukman ◽

B D Handari ◽

H Tasman

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Vasicek Model ◽

Underlying Asset ◽

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Option pricing formulas with random interest rate under uncertainty theory

Applied Mathematical Sciences ◽

10.12988/ams.2021.914479 ◽

2021 ◽

Vol 15 (5) ◽

pp. 201-216

Author(s):

Yeyu Wu ◽

Tianyi Wang

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Uncertainty Theory

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Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching

Computational Economics ◽

10.1007/s10614-017-9754-9 ◽

2017 ◽

Vol 53 (2) ◽

pp. 555-586 ◽

Author(s):

Dong-Mei Zhu ◽

Jiejun Lu ◽

Wai-Ki Ching ◽

Tak-Kuen Siu

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Regime Switching ◽

Stochastic Interest Rate ◽

Volatility Model ◽

Stochastic Interest ◽

Markovian Regime Switching ◽

Markovian Regime

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Power Option Pricing Problem Based on Uncertain Mean-Reverting Stock Model with Floating Interest Rate

Proceedings of the Sixth International Forum on Decision Sciences - Uncertainty and Operations Research ◽

10.1007/978-981-13-8229-1_16 ◽

2019 ◽

pp. 179-194

Author(s):

Can Huang ◽

Xiangfeng Yang

Keyword(s):

Interest Rate ◽

Option Pricing ◽

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Fast option pricing with Vasicek stochastic interest rate and jump risk

Journal of Convergence Information Technology ◽

10.4156/jcit.vol7.issue20.43 ◽

2012 ◽

Vol 7 (20) ◽

pp. 359-369

Author(s):

Sumei Zhang

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Stochastic Interest Rate ◽

Jump Risk ◽

Stochastic Interest

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An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate

International Journal of Computer Mathematics ◽

10.1080/00207160.2019.1584671 ◽

2019 ◽

Vol 97 (3) ◽

pp. 638-655 ◽

Author(s):

Yijuan Liang ◽

Chenglong Xu

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Interest Rate ◽

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Interest Rate ◽

European Option ◽

European Option Pricing ◽

Stochastic Interest ◽

Conditional Monte Carlo

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Interest Rate Option Pricing Models

Risk Management and Financial Derivatives ◽

10.1007/978-1-349-14605-5_6 ◽

1997 ◽

pp. 275-287

Author(s):

Tim Rowlands

Keyword(s):

Interest Rate ◽

Option Pricing ◽

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Option pricing under the Heston model where the interest rate follows the Vasicek model

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2019.1678643 ◽

2019 ◽

pp. 1-8

Author(s):

Zhidong Guo

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Heston Model ◽

Vasicek Model ◽

The Interest Rate

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Interest rate option pricing and volatility forecasting: An application to Brazil

Chaos Solitons & Fractals ◽

10.1016/j.chaos.2007.01.038 ◽

2008 ◽

Vol 38 (3) ◽

pp. 755-763 ◽

Author(s):

Marcelo Yoshio Takami ◽

Benjamin Miranda Tabak

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Volatility Forecasting

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