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Volumn 57, Issue 6, 2001, Pages 34-43

The General Hull-White Model and Supercalibration

(2)  Hull, John a   White, Alan a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0345816834     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v57.n6.2491     Document Type: Article
Times cited : (52)

References (13)
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    • Black, F.1    Karasinski, P.2
  • 2
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    • The Market Model of Interest Rate Dynamics
    • Brace, A., D. Gatarek, and M. Musiela. 1997. "The Market Model of Interest Rate Dynamics." Mathematical Finance, vol. 7, no. 2 (April):127-155.
    • (1997) Mathematical Finance , vol.7 , Issue.2 APRIL , pp. 127-155
    • Brace, A.1    Gatarek, D.2    Musiela, M.3
  • 3
    • 49249142814 scopus 로고
    • Option Pricing: A Simplified Approach
    • Cox, J., S. Ross, and M. Rubinstein. 1979. "Option Pricing: A Simplified Approach." Journal of Financial Economics, vol. 7, no. 3 (September):229-264.
    • (1979) Journal of Financial Economics , vol.7 , Issue.3 SEPTEMBER , pp. 229-264
    • Cox, J.1    Ross, S.2    Rubinstein, M.3
  • 4
    • 0013285814 scopus 로고    scopus 로고
    • Implied Trinomial Trees of the Volatility Smile
    • Derman, E., I. Kani, and N. Chriss. 1996. "Implied Trinomial Trees of the Volatility Smile." Journal of Derivatives, vol. 3, no. 4 (Summer):7-22.
    • (1996) Journal of Derivatives , vol.3 , Issue.4 SUMMER , pp. 7-22
    • Derman, E.1    Kani, I.2    Chriss, N.3
  • 5
    • 0002674207 scopus 로고
    • Bond Pricing and the Term Structure of Interest Rates: A New Methodology
    • Heath, D., R. Jarrow, and A. Morton. 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology." Econometrica, vol. 60, no. 1 (January):77-105.
    • (1992) Econometrica , vol.60 , Issue.1 JANUARY , pp. 77-105
    • Heath, D.1    Jarrow, R.2    Morton, A.3
  • 6
    • 84944829853 scopus 로고
    • Term Structure Movements and Pricing Interest Rate Contingent Claims
    • Ho, T.S.Y., and S.B. Lee. 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims." Journal of Finance, vol. 41, no. 5 (December):1011-29.
    • (1986) Journal of Finance , vol.41 , Issue.5 DECEMBER , pp. 1011-1029
    • Ho, T.S.Y.1    Lee, S.B.2
  • 7
    • 0000520090 scopus 로고
    • Pricing Interest Rate Derivatives Securities
    • Hull, J., and A. White. 1990. "Pricing Interest Rate Derivatives Securities." Review of Financial Studies, vol. 3, no. 4 (Winter):573-592.
    • (1990) Review of Financial Studies , vol.3 , Issue.4 WINTER , pp. 573-592
    • Hull, J.1    White, A.2
  • 8
    • 0042923154 scopus 로고    scopus 로고
    • Taking Rates to the Limit
    • _. 1997. "Taking Rates to the Limit." Risk, vol. 10, no. 12 (December):168-169.
    • (1997) Risk , vol.10 , Issue.12 DECEMBER , pp. 168-169
  • 9
    • 0000930148 scopus 로고    scopus 로고
    • LIBOR and Swap Market Models and Measures
    • Jamshidian, F. 1997. "LIBOR and Swap Market Models and Measures." Finance and Stochastics, vol. 1, no. 4:293-330.
    • (1997) Finance and Stochastics , vol.1 , Issue.4 , pp. 293-330
    • Jamshidian, F.1
  • 10
    • 0040360988 scopus 로고    scopus 로고
    • Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
    • Miltersen, K., K. Sandmann, and D. Sondermann. 1997. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates." Journal of Finance, vol. 52, no. 1 (March):409-430.
    • (1997) Journal of Finance , vol.52 , Issue.1 MARCH , pp. 409-430
    • Miltersen, K.1    Sandmann, K.2    Sondermann, D.3
  • 13
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    • Implied Binomial Trees
    • Rubinstein, M. 1994. "Implied Binomial Trees." Journal of Finance, vol. 49, no. 3 (July):771-818.
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    • Rubinstein, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.