|
1.Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of financial studies, 6(2), 327-343.
2.Black, F. and Scholes, M. (1973) The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637-659
3.Black, F., & Cox, J. C. (1976). Valuing corporate securities: Some effects of bond indenture provisions. The Journal of Finance, 31(2), 351-367.
4.Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates*. The Journal of Finance, 29(2), 449-470.
5.Christoffersen, P., Heston, S., & Jacobs, K. (2009). The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well. Management Science, 55(12), 1914-1932.
6.Romo, J. M. (2014). Modeling credit spreads under multifactor stochastic volatility. The Spanish Review of Financial Economics, 12(1), 40-45.
7.Lewis, A. L. (2000). Option valuation under stochastic volatility. Option Valuation under Stochastic Volatility.
8.Crisostomo, R. (2014). An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab.
9.Zhang, B. Y., Zhou, H., & Zhu, H. (2009). Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. Review of Financial Studies, 22(12), 5099-5131.
10.Zhou, C. (2001). The term structure of credit spreads with jump risk. Journal of Banking & Finance, 25(11), 2015-2040.
11.Longstaff, F. A., & Schwartz, E. S. (1995). A simple approach to valuing risky fixed and floating rate debt. The Journal of Finance, 50(3), 789-819.
12.Chen, Ching. (2013). GPU-Based Monte Carlo Calibration to Implied Volatility Surfaces under Multi-Factor Stochastic Volatility Model. Unpublished master dissertation, National Tsing Hua University, Hsinchu.
|