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The valuation of options on coupon bonds · Study

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ArticleThe valuation of options on coupon bonds

Francis A. Longstaff1993

Article1993

The valuation of options on coupon bonds

Francis A. Longstaff

34 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1990Pricing Interest-Rate-Derivative Securities 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options 1989An Exact Bond Option Formula 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

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2002Pricing Interest Rate Derivatives: A General Approacharticle · 9 shared references 2002THE ENTROPY THEORY OF BOND OPTION PRICINGarticle · 9 shared references 1994A survey of stochastic continuous time models of the term structure of interest ratesarticle · 9 shared references 1992The Volatility of Short-Term Interest Rates: An Empirical Comparison of Alternative Models of the Term Structure of Interest Ratesarticle · 9 shared references 1997Interest Rate Risk Managementarticle · 8 shared references 1997A simple approach to bond option pricingarticle · 8 shared references

Details

Year1993

Typearticle

Published1993-02-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0378-4266(93)90078-r

openalex_workW2045406342

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