Stock index dynamics and derivatives pricing with stochastic interest rates

DOI10.1007/BF01574149zbMATH Open1274.91444MaRDI QIDQ375371FDOQ375371

Carsten Sørensen

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

optionsgeneral equilibriumfuturesstock index

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50)

Cites Work

• A theory of the term structure of interest rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• Optimum consumption and portfolio rules in a continuous-time model
• An Intertemporal Capital Asset Pricing Model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asset Prices in an Exchange Economy
• An Intertemporal General Equilibrium Model of Asset Prices
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
• GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹

Cited In (2)

• A worst-case approach for interest rate stresses and stock crashes
• Modeling the BUX index by a novel stochastic differential equation

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