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Tax liens: a novel application of asset pricing theory. (2007). Jarrow, Robert ; Tyagi, Vikrant.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:10:y:2007:i:2:p:181-204.

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  1. Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
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  2. Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
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  3. Alternative methods to derive option pricing models: review and comparison. (2016). Lee, Cheng Few ; Chen, Yibing.
    In: Review of Quantitative Finance and Accounting.
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  4. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
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  5. Pricing inflation-linked variable annuities under stochastic interest rates. (2013). Tiong, Serena.
    In: Insurance: Mathematics and Economics.
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  6. One numerical procedure for two risk factors modeling. (2011). Cocozza, Rosa ; de Simone, Antonio.
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  7. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). He, Ting ; Gao, Quansheng ; Zhang, Chi.
    In: Economic Modelling.
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  8. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). He, Ting ; Gao, Quansheng ; Zhang, Chi.
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  9. Midquotes or Transactional Data? The Comparison of Black Model on HF Data. (2010). Sakowski, Pawel ; Ślepaczuk, Robert ; Kokoszczyński, Ryszard ; Kokoszczyski, Ryszard.
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  10. American option pricing under stochastic volatility: an empirical evaluation. (2010). Guha, Suchandan ; Goswami, Manisha ; Aitsahlia, Farid.
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  11. International money and stock market contingent claims. (2010). Monfort, Alain ; gourieroux, christian ; Sufana, R..
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  12. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
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  13. Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model. (2007). Assefa, Samson ; Bruti-Liberati, Nicola ; Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina.
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  14. Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model. (2007). Assefa, Samson.
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  15. Tax liens: a novel application of asset pricing theory. (2007). Jarrow, Robert ; Tyagi, Vikrant.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:10:y:2007:i:2:p:181-204.

    Full description at Econpapers || Download paper

  16. What is the correct meaning of implied volatility?. (2007). Hyun, Jung-Soon ; Kim, In Joon ; Park, Gun Youb.
    In: Finance Research Letters.
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  17. On the Consistency of the Lucas Pricing Formula. (2005). Aase, Knut.
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  18. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Leung, Mark T. ; Chen, An-Sing.
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  19. Pricing counterparty default risks: Applications to FRNs and vulnerable options. (2005). Kang, Jangkoo ; Kim, Hwa-Sung.
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  20. On the Consistency of the Lucas Pricing Formula. (2005). Aase, Knut.
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  21. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto.
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  22. Optimal consumption and investment strategies with stochastic interest rates. (2004). Munk, Claus ; Sorensen, Carsten.
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  23. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
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  24. Pricing of multi-period rate of return guarantees. (2003). Lindset, Snorre.
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  25. Empirical assessment of an intertemporal option pricing model with latent variables. (2003). Renault, Eric ; Luger, Richard ; Garcia, René.
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  26. Do Swedes smile? On implied volatility functions. (2002). Engstrom, Malin .
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  27. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
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  28. Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version). (2001). Kim, Yong-Jin ; Kunitomo, Naoto.
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  29. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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  30. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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  31. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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  32. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
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  33. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. (2000). van der Sluis, Pieter ; Jiang, G. J..
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  35. Pricing and hedging derivative securities with neural networks and a homogeneity hint. (2000). Garcia, René.
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  36. Pricing and hedging long-term options. (2000). Chen, Zhiwu ; Cao, Charles ; Bakshi, Gurdip.
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  37. Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris .
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  38. Pricing Options under Stochastic Interest Rates: A New Approach. (1999). .
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  39. Pricing rate of return guarantees in a Heath-Jarrow-Morton framework. (1999). Persson, Svein-Arne ; Miltersen, Kristian R..
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  40. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
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  41. Pricing stock and bond derivatives with a multi-factor Gaussian model. (1998). Isabelle Bajeux-Besnainou, Roland Portait, .
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  42. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
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  43. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Chidambaran, N. K. ; Trigueros, Joaguin R. ; Lee, Chi-Wen Jevons .
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  44. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model. (1998). Das, Sanjiv.
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  45. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint. (1998). Garcia, René ; Genay, Ramazan.
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  46. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
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  47. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. (1997). Das, Sanjiv.
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  48. An alternative valuation model for contingent claims. (1997). Chen, Zhiwu ; Bakshi Gurdip S., .
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  49. A path-dependent approach to security valuation with application to interest rate contingent claims. (1997). Gilkeson, James H. ; Breeden, Douglas T..
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  50. The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:3:y:1996:i:3:p:209-236.

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