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    11 research outputs found

    Continuous Term Structures for Implied Recovery

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    'Elsevier BV'
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    Valuing European options when the terminal value of the underlying asset is unobservable

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    [Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,
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    Includes bibliographical references (p. 31-32)
    Illinois Digital Environment for Access to Learning and Scholarship Repository

    Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing

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    Research Papers in Economics

    The Price of Government Bond Volatility

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    'Elsevier BV'
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    Term Structure and Volatility: Lessons from the Eurodollar Markets

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    'Elsevier BV'
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    Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets

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    'Elsevier BV'
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