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A dynamic programming approach for pricing options embedded in bonds · Study

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ArticleA dynamic programming approach for pricing options embedded in bonds

Hatem Ben‐Ameur2006

Article2006

A dynamic programming approach for pricing options embedded in bonds

Hatem Ben‐Ameur · Michèle Breton · Pierre L’Ecuyer

49 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Capital Investment and Risk Analysis Credit Risk and Financial Regulations

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References

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1987Parsimonious Modeling of Yield Curves 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1990Pricing Interest-Rate-Derivative Securities 1985An Intertemporal General Equilibrium Model of Asset Prices

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2012Evaluating callable and putable bonds: An eigenfunction expansion approach

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 13 shared references 1994A survey of stochastic continuous time models of the term structure of interest ratesarticle · 13 shared references 1992The Volatility of Short-Term Interest Rates: An Empirical Comparison of Alternative Models of the Term Structure of Interest Ratesarticle · 11 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 10 shared references 2002Pricing Interest Rate Derivatives: A General Approacharticle · 10 shared references 1995Testing for continuous-time models of the short-term interest ratearticle · 10 shared references

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Year2006

Typearticle

Published2006-09-02

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations49

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2006.06.007

openalex_workW1487914112

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