Forward-neutral valuation relationships for options on zero coupon bonds
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Publication:2873549
DOI10.1080/14697688.2010.507212zbMath1279.91153OpenAlexW2153778339MaRDI QIDQ2873549
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.507212
Cites Work
- Two-dimensional risk-neutral valuation relationships for the pricing of options
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Volatility skews and extensions of the Libor market model
- Changes of numéraire, changes of probability measure and option pricing
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities