Pricing credit-spread options under a Markov chain model with Stochastic default rate
Article Abstract:
The Markov chain model that, unlike the existing models, has a stochastic default rate model is studied to reflect real world phenomena. The model allows both continuous and discrete movements in credit spreads, even where there exist no changes in credit ratings.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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Natural gas prices and the gas storage report: public news and volatility in energy futures markets
Article Abstract:
The impact on future price volatility of natural gas by market news is examined. The weekly gas storage report by American gas association was responsible for considerable volatility at the time of its release and after.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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An efficient approximation method for American exotic options
Article Abstract:
The development of a quadratic approximation scheme for evaluation of options in theKorean stock markets is described.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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