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Exact Analytical Valuation of Bonds When Spot Interest Rates are Log-Normal
16 references·1 citing·27 second hop
Exact Analytical Valuation of Bonds When Spot Interest Rates are Log-Normal (1998)Exact Analytical Valuation of Bonds When …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Theory of rational option pricing (2005)Theory of rational option pri…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Financial Calculus: An Introduction to Derivative Pricing. (1997)Financial Calculus: An Introd…Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…Financial Calculus (1996)Financial CalculusDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Pricing European average rate currency options (1992)Pricing European average rate…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Duration and the Measurement of Basis Risk (1979)Duration and the Measurement …On the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A Note on the Call-Put Parity and a Call-Put Duality (2002)A Note on the Call-Put Parity…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)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)Specification Analysis of Affine Term Structure Models (2000)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)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Waiting to Invest: Investment and Uncertainty (1992)Nonparametric Pricing of Interest Rate Derivative Securities (1995)Option pricing: A simplified approach (1979)
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
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1978On the term structure of interest rates659 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1997Financial Calculus: An Introduction to Derivative Pricing.361 cited
  • 1992Pricing European average rate currency options331 cited
  • 1996Financial Calculus313 cited
  • 1979Duration and the Measurement of Basis Risk225 cited

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Cited by

  • 2002A Note on the Call-Put Parity and a Call-Put Duality27 cited