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The Pricing of Options on Assets with Stochastic Volatilities
One option-pricing problem which has hitherto been unsolved is the pricing of European call on an asset which has a stochastic volatility. This paper examines this problem. The option price isExpand
Pricing Interest-Rate-Derivative Securities
This article shows that the one-state-variable interest-rate models of Vasicek (1977) and Cox, Ingersoll, and Ross (1985b) can be extended so that they are consistent with both the current termExpand
The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
A company’s credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit default swap spreads collected by a creditExpand
Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation
Many of the new credit derivative products are based on default experience for a portfolio of financial instruments. These include collateralized debt obligations (CDOs) and similar tranched creditExpand
Societal costs of prescription opioid abuse, dependence, and misuse in the United States.
TLDR
The costs of prescription opioid abuse represent a substantial and growing economic burden for the society and the increasing prevalence of abuse suggests an even greater societal burden in the future. Expand
One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities
This paper compares different approaches to developing arbitrage-free models of the term structure. It presents a numerical procedure that can be used to construct a wide range of one-factor modelsExpand
Efficient Procedures for Valuing European and American Path-Dependent Options
ALAN WHITE is also a professor in the Faculty of Management at the University of Toronto. We show how binomial and trinomial tree methods can be extended to value many types o f options withExpand
Valuing Derivative Securities Using the Explicit Finite Difference Method
This paper suggests a modification to the explicit finite difference method for valuing derivative securities. The modification ensures that, as smaller time intervals are considered, the calculatedExpand
Numerical Procedures for Implementing Term Structure Models II
In the last issue ofthislournal we explained a new procedure fOr building trinomial trees for one-fctor no-arbitrage models o f the term structure. The procedure is appropriate for models where thereExpand
Valuing Credit Default Swaps II
“In the Fall 2000, Journal of Derivatives, Hull and White presented a model for pricing credit default swaps based on the realistic assumption that in a default the bondholders will claim theExpand
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