Data for: Modeling CDS spreads: A comparison of some hybrid approaches

NIAID Data Ecosystem2026-03-11 收录

衍生品定价

利率模型校准

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Strip bond prices used to calibrate the CIR model for the interest rate

创建时间：

2020-04-30

On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches

衍生品定价

信用违约互换

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 options and tranche spreads on the five-year CDX index. We demonstrate the importance o

NBER2010-02-01 更新130

Data for: A consistent two-factor model for pricing temperature derivatives

衍生品定价

气象金融建模

Abstract of associated article: In the past decade, the Chicago Mercantile Exchange began to trade weather derivatives to hedge weather risk. The pricing of weather derivatives is challenging since th

NIAID Data Ecosystem70

The Role of Guarantees in Defined Contribution Pensions

养老金担保机制

衍生品定价

This paper examines the role of guarantees in DC pension plans, in particular minimum investment return guarantees during the accumulation phase. The main goal is to assess the cost and benefits of di

Organisation for Economic Co-operation and Development40

Estimating State Price Densities Implied by American Options

衍生品定价

期权与股权市场分析

We propose a new method to estimate state price densities implicit in American-style options. The method involves estimating the parameters of a Gauss-Hermite series expansion and solving a sequence o

DataCite Commons2026-05-21 更新100

Excel Binomial Interest Rate Calibration Model

利率模型校准

固定收益定价

The Excel program generates a binomial interest rate tree based on the Black-Derman-Toy Calibration Model. The user inputs up and down parameters, the probability of an increase in one period, and spo

Mendeley Data2018-01-03 更新40

Data for: Modeling CDS spreads: A comparison of some hybrid approaches

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