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A Simple Approach to Interest-Rate Option Pricing

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References

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1996An Alternative Valuation Model for Contingent Claims36 cited
1994A survey of stochastic continuous time models of the term structure of interest rates35 cited
2004The Econometrics of Option Pricing30 cited
2001State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates27 cited
1997Stochastic volatility, movements in short term interest rates, and bond option values26 cited
2005Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips25 cited
1999Discontinuous Interest Rate Processes: An Equilibrium Model for Bond Option Prices23 cited