scientific article; zbMATH DE number 772621

MaRDI QIDQ4838431zbMATH OpenFDO

Authors Miura Ryozo, Kishino Hirohisa

Publication date 17 January 1996

zbMATH Keywords

bond option pricing formuladata analysis

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

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(6)

• A model of the term structure of interest rates for an economically dependent country
• The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk
• A bond pricing formula under a non-trivial, three-factor model of interest rates
• Risk measures and behaviors for bonds under stochastic interest rate models
• The martingale pricing for warrant bonds under stochastic interest rate
• Pricing stock and bond derivatives with a multi-factor Gaussian model

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