On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved

DOI10.1016/0022-0531(91)90148-WMaRDI QIDQ2640422zbMATH OpenOpenAlexFDO

Authors Susan T. Cheng

Publication date 1991

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(91)90148-w

zbMATH Keywords

interest rate sensitive assetsstochastic bond price process

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• On mean-variance hedging of bond options with stochastic risk premium factor
• La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
• Pricing of bond options. Unspanned stochastic volatility and random field models.
• Arbitrage pricing of defaultable game options with applications to convertible bonds
• Discrete-time bond and option pricing for jump-diffusion processes
• Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump
• Option pricing in the presence of random arbitrage return
• Pricing and Hedging Discount Bond Options in the Presence of Model Risk *
• Stochastic duration and fast coupon bond option pricing in multi-factor models
• Option pricing under stochastic interest rates: an empirical investigation

Cites work

• A theory of the term structure of interest rates
• An extension of the Black-Scholes model of security valuation
• scientific article; zbMATH DE number 3883355 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• The pricing of options and corporate liabilities

Cited in

(10)

• Martingale densities for general asset prices
• On the implied market price of risk under the stochastic numéraire
• Probing option prices for information
• THE ENTROPY THEORY OF BOND OPTION PRICING
• La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
• Domain restrictions on interest rates implied by no arbitrage
• Equivalent martingale measures for bridge processes
• Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates
• Weak and strong no-arbitrage conditions for continuous financial markets
• Pricing of bond options. Unspanned stochastic volatility and random field models.

This page was built for publication: On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2640422)