Forward-neutral valuation relationships for options on zero coupon bonds

References

• Ait-Sahalia , Y . 1999 . Transition densities for interest rate and other nonlinear diffusions . J. Finance , 54 : 1361 – 1395 .
   Web of Science ®Google Scholar
• Aitchison , J and Brown , J . 1957 . The Lognormal Distribution , Cambridge : Cambridge University Press .
   Google Scholar
• Amin , K and Ng , V . 1993 . Option valuation with systematic stochastic volatility . J. Finance , 48 : 881 – 910 .
   Web of Science ®Google Scholar
• Andersen , L and Andreasen , J . 2000 . Volatility skews and extensions of the Libor market model . Appl. Math. Finance , 7 : 1 – 32 .
   Google Scholar
• Berk , J , Green , R and Naik , V . 1999 . Optimal investment, growth options, and security returns . J. Finance , 54 : 1553 – 1607 .
   Web of Science ®Google Scholar
• Bhattacharjee , R , Radak , B and Russel , R . 2006 . Volatility skew and the valuation of mortgages . J. Fixed Income , 16 : 39 – 53 .
   Google Scholar
• Black , F . 1976 . The pricing of commodity contracts . J. Financial Econ. , 3 : 167 – 179 .
   Web of Science ®Google Scholar
• Brennan , M . 1979 . The pricing of contingent claims in discrete time models . J. Finance , 34 : 53 – 68 .
   Web of Science ®Google Scholar
• Camara , A . 2003 . A generalization of the Brennan–Rubinstein approach for the pricing of derivatives . J. Finance , 58 : 805 – 819 .
   Web of Science ®Google Scholar
• Camara , A . 2009 . Two counters of jumps . J. Bank. Finance , 33 : 456 – 463 .
   Web of Science ®Google Scholar
• Franke , G , Huang , J and Stapleton , R . 2006 . Two-dimensional risk neutral valuation relationships for the pricing of options . Rev. Deriv. Res. , 9 : 213 – 237 .
   Google Scholar
• Geman , H , El Karoui , N and Rochet , J . 1995 . Changes of numeraire, changes of probability measure and option pricing . J. Appl. Probab. , 32 : 443 – 458 .
   Web of Science ®Google Scholar
• Heath , D , Jarrow , R and Morton , A . 1992 . Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation . Econometrica , 60 : 77 – 105 .
   Web of Science ®Google Scholar
• Heston , S . 1993 . Invisible parameters in option prices . J. Finance , 48 : 933 – 947 .
   Web of Science ®Google Scholar
• Ho , T and Lee , S . 1986 . Term structure movements and pricing interest rate contingent claims . J. Finance , 41 : 1011 – 1028 .
   Web of Science ®Google Scholar
• Hull , J . 2009 . Options, Futures, and other Derivatives , Engelwood Cliffs , NJ : Prentice-Hall .
   Google Scholar
• Hull , J and White , A . 1990 . Pricing interest-rate-derivative securities . Rev. Financial Stud. , 3 : 573 – 592 .
   Web of Science ®Google Scholar
• Jamshidian, F., Pricing of contingent claims in the one-factor term structure model. Working Paper, Merrill Lynch Capital Markets, 1987.
   Google Scholar
• Jarrow , R and Turnbull , S . 1996 . Derivative Securities , South-Western College Publishing .
   Google Scholar
• Merton , R . 1973 . Theory of rational option pricing . Bell J. Econ. Mgmt Sci. , 4 : 141 – 183 .
   Google Scholar
• Rubinstein , M . 1976 . The valuation of uncertain income streams and the pricing of options . Bell J. Econ. Mgmt Sci. , 7 : 407 – 425 .
   Google Scholar
• Schroder , M . 2004 . Risk-neutral parameter shifts and derivatives pricing in discrete time . J. Finance , 59 : 2375 – 2402 .
   Web of Science ®Google Scholar
• Stapleton , R and Subrahmanyam , M . 1984 . The valuation of multivariate contingent claims in discrete time models . J. Finance , 39 : 207 – 228 .
   Web of Science ®Google Scholar
• Tuckman , B . 2002 . Fixed Income Securities , New York : Wiley .
   Google Scholar
• Vasicek , O . 1977 . An equilibrium characterization of the term structure . J. Financial Econ. , 5 : 177 – 188 .
   Web of Science ®Google Scholar
• Vitiello , L and Poon , S . 2008 . General equilibrium and risk neutral framework for option pricing with a mixture of distributions . J. Deriv. , Summer : 48 – 60 .
   Web of Science ®Google Scholar