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A dynamic programming approach for pricing options embedded in bonds
16 references·1 citing·31 second hop
A dynamic programming approach for pricing options embedded in bonds (2006)A dynamic programming approach for pricin…Affine processes and applications in finance (2003)Affine processes and applicat…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)Numerical Procedures for Impl…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaParsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Analyzing Convertible Bonds (1980)Analyzing Convertible BondsOn the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Evaluating callable and putable bonds: An eigenfunction expansion approach (2012)Evaluating callable and putab…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Term Premia and Interest Rate Forecasts in Affine Models (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Stochastic Differential Equations and Diffusion Processes (1983)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1978On the term structure of interest rates659 cited
  • 1980Analyzing Convertible Bonds568 cited
  • 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models

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  • 2012Evaluating callable and putable bonds: An eigenfunction expansion approach41 cited