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Arbitrage free pricing of interest rate futures and forward contracts
16 references·1 citing·36 second hop
Arbitrage free pricing of interest rate futures and forward contracts (1993)Arbitrage free pricing of interest rate f…Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing (1993)Testing the Heath-Jarrow-Mort…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation (1990)Bond Pricing and the Term Str…The Quality Option and Timing Option in Futures Contracts (1989)The Quality Option and Timing…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market (1984)Intra-Day Tests of the Effici…A comparison of futures and forward prices (1983)A comparison of futures and f…The relation between forward prices and futures prices (1981)The relation between forward …Forward contracts and futures contracts (1981)Forward contracts and futures…Forward and Futures Prices: Evidence from the Foreign Exchange Markets (1981)Forward and Futures Prices: E…A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)A continuous time equilibrium…The Efficiency of the Treasury Bill Futures Market (1979)The Efficiency of the Treasur…The pricing of commodity contracts (1976)The pricing of commodity cont…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…The Minimum Variance Hedge Ratio Under Stochastic Interest Rates (2000)The Minimum Variance Hedge Ra…An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Simple Approach to the Valuation of Risky Streams (1978)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)The valuation of options for alternative stochastic processes (1976)WHEN IS THE SHORT RATE MARKOVIAN? (1994)VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)Interpolation Methods for Curve Construction (2006)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Dynamic Asset Pricing Theory. (1993)Expectations Models of Asset Prices: A Survey of Theory (1982)Tests of the martingale hypothesis for foreign currency futures with time-varying volatility (1987)Macroeconomic Influences and the Variability of the Commodity Futures Basis (1993)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)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
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation341 cited
  • 1981Forward contracts and futures contracts234 cited
  • 1981A continuous time equilibrium model of forward prices and futures prices in a multigood economy224 cited
  • 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
  • 1983A comparison of futures and forward prices164 cited
  • 1979The Efficiency of the Treasury Bill Futures Market138 cited
  • 1989The Quality Option and Timing Option in Futures Contracts80 cited
  • 1993Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing74 cited

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  • 1984Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market73 cited
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    • 2000The Minimum Variance Hedge Ratio Under Stochastic Interest Rates21 cited