Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
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Publication:4345932
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Cites work
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- scientific article; zbMATH DE number 3883355 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- On the pricing of American options
- Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
Cited in
(37)- Pricing continuously resettled contingent claims
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
- Options and sunspots in a simple monetary economy
- Pricing of multi-period rate of return guarantees.
- Option pricing for stable and infinitely divisible asset returns
- Econometric methods for derivative securities and risk management
- Pricing and hedging long-term options
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Combination of transition probability distribution and stable Lorentz distribution in stock markets
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- Mellin transform method for European option pricing with Hull-White stochastic interest rate
- Tax liens: a novel application of asset pricing theory
- Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
- Using computational methodology to price European options with actual payoff distributions
- TWO APPROACHES FOR STOCHASTIC INTEREST RATE OPTION MODEL
- American call option with stochastic market model
- Exotic options pricing formulae with stochastic interest rates
- Pricing of two kinds of exotic options with stochastic lives
- Discrete-time bond and option pricing for jump-diffusion processes
- Stock index dynamics and derivatives pricing with stochastic interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The pricing of Asian options under stochastic interest rates
- Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
- MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
- Pricing stock and bond derivatives with a multi-factor Gaussian model
- Bifactorial pricing models: light and shadows in correlation role
- Guarantee valuation in notional defined contribution pension systems
- Contingent claim valuation in a market with different interest rates
- Pricing European contingent claims under stochastic interest rate and stochastic life
- The effect of trading futures on short sale constraints
- ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA
- The American put with finite‐time maturity and stochastic interest rate
- A moment matching method for option pricing under stochastic interest rates
- Option pricing under jump diffusion model
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Stochastic elasticity of variance with stochastic interest rates
- American option pricing under stochastic volatility: an empirical evaluation
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