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Pricing and hedging interest rate options: Evidence from cap–floor markets
16 references·5 citing·29 second hop
Pricing and hedging interest rate options: Evidence from cap–floor markets (2004)Pricing and hedging interest rate options…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)Closed Form Solutions for Ter…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Bond 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…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Bond and Option Pricing when Short Rates are Lognormal (1991)Bond and Option Pricing when …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A continuous time approach to the pricing of bonds (1979)A continuous time approach to…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of commodity contracts (1976)The pricing of commodity cont…Interest rate model in uncertain environment based on exponential Ornstein–Uhlenbeck equation (2016)Interest rate model in uncert…VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation (2013)VIX option pricing and CBOE V…The Swaption Cube (2012)The Swaption CubeThe Term Structure of Interest Rates (2009)The Term Structure of Interes…The economic determinants of interest rate option smiles (2007)The economic determinants of …Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)A Jump-Diffusion Model for Option Pricing (2002)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Credit Spreads and Business Cycle Fluctuations (2012)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 cited

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  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • Cited by

    • 2012The Swaption Cube42 cited
    • 2007The economic determinants of interest rate option smiles32 cited
    • 2016Interest rate model in uncertain environment based on exponential Ornstein–Uhlenbeck equation31 cited
    • 2013VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation30 cited
    • 2009The Term Structure of Interest Rates28 cited