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Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1

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References

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2002Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy152 cited

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1995Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics132 cited

1997An alternative valuation model for contingent claims129 cited

2003Empirical assessment of an intertemporal option pricing model with latent variables124 cited

1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited

1999Valuing Energy Options in a One Factor Model Fitted to Forward Prices114 cited

2003Optimal consumption and investment strategies with stochastic interest rates113 cited

2010The Econometrics of Option Pricing110 cited

1995OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS 199 cited

2004A chaotic approach to interest rate modelling89 cited

1995Discrete-Time Valuation of American Options with Stochastic Interest Rates81 cited

2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility75 cited

1999Pricing rate of return guarantees in a Heath–Jarrow–Morton framework64 cited

2001Option pricing based on the generalized lambda distribution63 cited

2002Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates53 cited

2013Implied Pricing Kernels: An Alternative Approach for Option Valuation52 cited