SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Arbitrage free pricing of interest rate futures and forward contracts · Study

ArticleShelves

ArticleArbitrage free pricing of interest rate futures and forward contracts

Bjorn Flesaker1993

Article1993

Arbitrage free pricing of interest rate futures and forward contracts

36 citations·0/0 files stored·Journal of Futures Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 36 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1976The pricing of commodity contracts 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1981The relation between forward prices and futures prices 1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

Cited by

2000The Minimum Variance Hedge Ratio Under Stochastic Interest Rates

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1998An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swapsreport · 9 shared references 1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidencearticle · 9 shared references 1992A Comparison of Forward and Futures Prices of an Interest Rate-Sensitive Financial Assetarticle · 9 shared references 2009The Term Structure of Interest Ratesreview · 9 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 8 shared references 2002THE ENTROPY THEORY OF BOND OPTION PRICINGarticle · 8 shared references

Details

Year1993

Typearticle

Published1993-02-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1002/fut.3990130108

openalex_workW1997398706

Links

Imported from OpenAlex (CC0) — nothing here is generated.