Stock index dynamics and derivatives pricing with stochastic interest rates
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Cites work
- scientific article; zbMATH DE number 4081235 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- An Intertemporal Capital Asset Pricing Model
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Asset Prices in an Exchange Economy
- GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
- Optimum consumption and portfolio rules in a continuous-time model
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
- The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
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