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Option Pricing under Stochastic Interest Rates: An Empirical Investigation · Study

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ArticleOption Pricing under Stochastic Interest Rates: An Empirical Investigation

Yongjin Kim2002

Article2002

Option Pricing under Stochastic Interest Rates: An Empirical Investigation

36 citations·0/0 files stored·Asia-Pacific Financial Markets

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

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References

1973The Pricing of Options and Corporate Liabilities 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1993Dynamic Asset Pricing Theory.1997Empirical Performance of Alternative Option Pricing Models

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2013Pricing stock options with stochastic interest rate 2019Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate 2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 10 shared references 2002Pricing Interest Rate Derivatives: A General Approacharticle · 9 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2005A Selective Overview of Nonparametric Methods in Financial Econometricsarticle · 8 shared references 1999Three centuries of asset pricingarticle · 8 shared references 2003Two-factor convertible bonds valuation using the method of characteristics/finite elementsarticle · 8 shared references

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Year2002

Typearticle

Published2002-03-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1021155301176

openalex_workW6176449

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