25
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

Pricing options on short-term interest rates using discrete arbitrage-free models

Pages 1-3 | Published online: 05 Oct 2010

References

  • Angrist , S. W. 1990 . Here's an Option for Betting on Rates . Wall Street Journal , March 13
  • Ball , C. and Torous , W. 1983 . Bond Price Dynamics and Options . Journal of Financial and Quantitative Analysis , 18 : 517 – 531 .
  • Bierwag , G. O. 1989 . Theories of the Term Structure . Research in Financial Services , 1 : 79 – 111 .
  • Black , F. , Derman , E. and Toy , W. 1990 . A One Factor Model of Interest Rates and its Application to Treasury Bond Options . Financial Analysts Journal , : 33 – 39 .
  • Bliss , R. R. and Ronn , E. I. 1989 . Arbitrage-Based Estimation of Non-stationary Shifts in the Term Structure of Interest Rates . Journal of Finance , 44 : 591 – 610 .
  • Cox , J. C , Ingersoll , J. E. Jr. and Ross , S. A. 1981 . A Re-examination of the Traditional Hypothesis about the Term Structure of Interest Rates . Journal of Finance , 36 : 769 – 799 .
  • Dyer , L. J. and Jacob , D. P. 1988 . A Practitioner's Guide to Fixed Income Option Models , Morgan Stanley .
  • Harrison , J. M. and Kreps , D. M. 1979 . Martingales and Arbitrage in Multiperiod Securities Markets . Journal of Economic Theory , 20 : 381 – 408 .
  • Heath , D. , Jarrow , R. and Morton , A. 1990 . Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation . Journal of Financial and Quantitative Analysis , 25 : 419 – 440 .
  • Ho , T. S. Y. and Lee , S. B. 1986 . Term Structure Movements and Pricing Interest Rate Contingent Claims . Journal of Finance , 41 : 1011 – 1029 .
  • Longstaff , F. A. 1990 . The Valuation of Options on Yields , European Finance Association .
  • Neave , H. R. and Worthington , P. L. 1988 . Distribution-Free Tests , London, , UK : Unwin Hyman .
  • Schaefer , S. M. and Schwartz , E. S. 1987 . Time Dependent Variance and the Pricing of Bond Options . Journal of Finance , 42 : 1113 – 1128 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.