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Implied volatility functions in arbitrage-free term structure models · Study

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ArticleImplied volatility functions in arbitrage-free term structure models

Kaushik I. Amin1994

OA

Articlegreen1994

Implied volatility functions in arbitrage-free term structure models

Kaushik I. Amin · A. J. Morton

206 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1979Option pricing: A simplified approach 1987The Pricing of Options on Assets with Stochastic Volatilities 1989Why Does Stock Market Volatility Change Over Time?1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1981Martingales and stochastic integrals in the theory of continuous trading 1990Pricing Interest-Rate-Derivative Securities

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2008A Markov Model for the Term Structure of Credit Risk Spreads 2000The Term Structure of Interest Rates as a Random Field 2000Counterparty Risk and the Pricing of Defaultable Securities 1995Implied Volatility 1995Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics 2008A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 11 shared references 1998Arbitrage Theory in Continuous Timebook · 8 shared references 2004Arbitrage Theory in Continuous Timebook · 8 shared references 1998Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatilityarticle · 8 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2002Pricing Interest Rate Derivatives: A General Approacharticle · 8 shared references

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Year1994

Typearticle

Published1994-04-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations206

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-405x(94)90002-7

openalex_workW2055110381

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1997Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach

1997Transformation of Heath?Jarrow?Morton models to Markovian systems