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A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options · Study

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ArticleA One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

Fischer Black1990

Article1990

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

Fischer Black · Emanuel Derman · William W. Toy

981 citations·0/0 files stored·Financial Analysts Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

(1990). A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options. Financial Analysts Journal: Vol. 46, No. 1, pp. 33-39.

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2004Arbitrage Theory in Continuous Time 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities 1992A Theory of the Nominal Term Structure of Interest Rates 2003Term Structure Dynamics in Theory and Reality 2000The intersection of market and credit risk 2008Closed-form likelihood expansions for multivariate diffusions

Details

Year1990

Typearticle

Published1990-01-01

VenueFinancial Analysts Journal

ISSN-L0015-198X

Languageen

Citations981

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.2469/faj.v46.n1.33

openalex_workW1906327481

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