The Effects of Negative Nominal Rates on the Pricing of American Calls: Some Theoretical and Numerical Insights

Journals Menu

Follow SCIRP

ISSN Print: 2152-7245
ISSN Online: 2152-7261
www.scirp.org/journal/me
E-mail: me@scirp.org

"The Effects of Negative Nominal Rates on the Pricing of American Calls: Some Theoretical and Numerical Insights"
written by Alessia Cafferata, Pier Giuseppe Giribone, Marina Resta,
published by Modern Economy, Vol.8 No.7, 2017

has been cited by the following article(s):

[1]	EXCERPT
	2022

[2]	Deterministic and Stochastic Optimal Control
	Thesis, 2021

[3]	Black's model in a negative interest rate environment, with application to OTC derivatives
	2021

[4]	Certificate pricing using Discrete Event Simulations and System Dynamics theory
	2021

[5]	Pricing Derivatives in Periods of Low or Negative Interest Rates
	2019

[1]	Black’s model in a negative interest rate environment, with application to OTC derivatives Computational Management Science, 2022 DOI:10.1007/s10287-021-00408-6

[2]	The impact of negative interest rates on the pricing of options written on equity: a technical study for a suitable estimate of early termination Risk Management Magazine, 2022 DOI:10.47473/2020rmm0116

[3]	Certificate pricing using Discrete Event Simulations and System Dynamics theory Risk Management Magazine, 2021 DOI:10.47473/2020rmm0092

[4]	Critical analysis of the most widespread methodologies for the simulation of the short rate dynamics under extreme market conditions Risk Management Magazine, 2020 DOI:10.47473/2020rmm0076

Follow SCIRP