References
- Bertoin J. "Levy Processes," Cambridge University Presses, 2002
- Black, F. "The Pricing of Commodity Contract," Journal of Financial Economics, (1976), pp.167-179
- Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, (1973), pp.637-659
- Brigo, D., F. Mercurio and M. Morini: "Different Covariance Parameterization of the LIBOR Market Model and Joint Caps and Swaption Calibration," Working paper, 2002
- Brigo D., C. Capitani and F. Mercurio:"On the Joint Calibration of the LIBOR Market Model to Caps and Swaption Market Volatilities," Working paper, 2001
- Das, S. and S. Foresi, "Exact Solutions for Bond and Options Prices with Systematic Jump Risk," Review of Derivatives Research, Vol.1(1996), pp.7-24 https://doi.org/10.1007/BF01536393
- Eberlein E., and S. Raible, "Term Structure Models Driven by Levy Process," Mathematical Finance, Vol.9, No.1(1999), pp.31-53 https://doi.org/10.1111/1467-9965.00062
- Glasserman, P. and N. Merener, "Cap and Swaption Approximations In LIBOR Market Model with Jumps," Journal of Computational Finance, Vol.7, No.1(2003), pp.1-36
- Jagannathan R., A. Kaplin and S. Sun, "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Price," Journal of Econometics, Vol.116(2003), pp.113-146 https://doi.org/10.1016/S0304-4076(03)00105-2
- Jackel, P. and R. Rebonato, "Linking Caplet and Swaption Volatilities in BGM/J Framework:Approximate Solution," Working paper, 2000
- Jamshidian, F., "LIBOR and Swap Market Models and Measure," Finance and Stochastic, Vol.1(1997), pp.293-330 https://doi.org/10.1007/s007800050026
- Jarrow, R. and A. Rudd, "Approximate Option Valuation for Arbitrary," Journal of Financial Economics, Vol.10(1982), pp.347-369 https://doi.org/10.1016/0304-405X(82)90007-1
- Longstaff, A., "Option Pricing and the Martingale Restriction," Review of Financial Studies, Vol.8(1995), pp.1091-1124 https://doi.org/10.1093/rfs/8.4.1091