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The valuation of options on coupon bonds
16 references·0 citing·38 second hop
The valuation of options on coupon bonds (1993)The valuation of options on coupon bondsBond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Asset pricing with a factor-arch covariance structure (1990)Asset pricing with a factor-a…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Computing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaThe information in forward rates (1988)The information in forward ra…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Pricing of Options on Default-Free Bonds (1982)The Pricing of Options on Def…Valuation of GNMA Mortgage-Backed Securities (1981)Valuation of GNMA Mortgage-Ba…A note on an analytical valuation formula for unprotected American call options on stocks with known dividends (1979)A note on an analytical valua…Savings bonds, retractable bonds and callable bonds (1977)Savings bonds, retractable bo…An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)An analytic valuation formula…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Anticipated information releases reflected in call option prices (1979)Standard deviations implied in option prices as predictors of future stock price variability (1981)Valuation of American call options on dividend-paying stocks (1982)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)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)GO‐GARCH: a multivariate generalized orthogonal GARCH model (2002)Multivariate GARCH Models (2009)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)Bond and Option Pricing when Short Rates are Lognormal (1991)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Risk and Volatility: Econometric Models and Financial Practice (2004)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
  • 1990Asset pricing with a factor-arch covariance structure542 cited
  • 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited
  • 1981Valuation of GNMA Mortgage-Backed Securities322 cited
  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 1988The information in forward rates264 cited
  • 1982The Pricing of Options on Default-Free Bonds239 cited
  • 1979A note on an analytical valuation formula for unprotected American call options on stocks with known dividends

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237 cited
  • 1977Savings bonds, retractable bonds and callable bonds229 cited
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