Grundke, Peter; Riedel, Karl O. Pricing the risks of default: a note on Madan and Unal. (English) Zbl 1089.91035 Rev. Deriv. Res. 7, No. 2, 169-173 (2004). MSC: 91G40 PDFBibTeX XMLCite \textit{P. Grundke} and \textit{K. O. Riedel}, Rev. Deriv. Res. 7, No. 2, 169--173 (2004; Zbl 1089.91035) Full Text: DOI
Stentoft, Lars Assessing the least squares Monte-Carlo approach to American option valuation. (English) Zbl 1080.91041 Rev. Deriv. Res. 7, No. 2, 129-168 (2004). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{L. Stentoft}, Rev. Deriv. Res. 7, No. 2, 129--168 (2004; Zbl 1080.91041) Full Text: DOI
de Jong, Frank; Driessen, Joost; Pelsser, Antoon On the information in the interest rate term structure and option prices. (English) Zbl 1080.91044 Rev. Deriv. Res. 7, No. 2, 99-127 (2004). MSC: 91B28 PDFBibTeX XMLCite \textit{F. de Jong} et al., Rev. Deriv. Res. 7, No. 2, 99--127 (2004; Zbl 1080.91044) Full Text: DOI
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A. A model of the convenience yields in on-the-run treasuries. (English) Zbl 1080.91023 Rev. Deriv. Res. 7, No. 2, 79-97 (2004). MSC: 91B26 91B28 PDFBibTeX XMLCite \textit{J. A. Cherian} et al., Rev. Deriv. Res. 7, No. 2, 79--97 (2004; Zbl 1080.91023) Full Text: DOI