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American bond option pricing in one-factor dynamic term structure models

https://doi.org/10.1007/bf01531144
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0022-0531(79)90043-7openalex-snapshot
Martingales and arbitrage in multiperiod securities markets
inferredcites →https://doi.org/10.1016/0304-405x(77)90016-2openalex-snapshot
An equilibrium characterization of the term structure
inferredcites →https://doi.org/10.1016/0304-405x(78)90020-xopenalex-snapshot
On the term structure of interest rates
inferredcites →https://doi.org/10.1016/0378-4266(93)90014-5openalex-snapshot
The analysis and valuation of interest rate options
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1093/rfs/3.4.547openalex-snapshot
The Analytic Valuation of American Options
inferredcites →https://doi.org/10.1093/rfs/3.4.573openalex-snapshot
Pricing Interest-Rate-Derivative Securities
inferredcites →https://doi.org/10.1093/rfs/4.1.87openalex-snapshot
A Simple Approach to Interest-Rate Option Pricing
inferredcites →https://doi.org/10.1111/j.1467-9965.1992.tb00040.xopenalex-snapshot
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
inferredcites →https://doi.org/10.1111/j.1467-9965.1993.tb00045.xopenalex-snapshot
ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS 1
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02169.xopenalex-snapshot
An Analysis of Variable Rate Loan Contracts
inferredcites →https://doi.org/10.1111/j.1540-6261.1986.tb02528.xopenalex-snapshot
Term Structure Movements and Pricing Interest Rate Contingent Claims
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02413.xopenalex-snapshot
An Exact Bond Option Formula
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04011.xopenalex-snapshot
An Empirical Comparison of Alternative Models of the Short-Term Interest Rate
inferredcites →https://doi.org/10.1112/blms/8.3.326bopenalex-snapshot
STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS
inferredcites →https://doi.org/10.1142/6453openalex-snapshot
Stochastic Differential Equations: Theory and Applications
inferredcites →https://doi.org/10.1142/9789812701022_0008openalex-snapshot
Theory of rational option pricing
inferredcites →https://doi.org/10.1142/9789814759588_0002openalex-snapshot
Theory of Rational Option Pricing
inferredcites →https://doi.org/10.1214/aoap/1177005768openalex-snapshot
The Pricing of the American Option
inferredcites →https://doi.org/10.2307/1911242openalex-snapshot
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/2329081openalex-snapshot
Dynamic Asset Pricing Theory.
inferredcites →https://doi.org/10.2307/2344856openalex-snapshot
Stochastic Differential Equations: Theory and Applications.
inferredcites →https://doi.org/10.2307/2951677openalex-snapshot
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
inferredcites →https://doi.org/10.2307/3003264openalex-snapshot
The Valuation of Uncertain Income Streams and the Pricing of Options

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.277052openalex-extracted
Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
inferred← citeshttps://doi.org/10.2139/ssrn.87888openalex-extracted
Analytical Valuation of American-Style Asian Options
inferred← citeshttps://doi.org/10.1007/s40314-024-02729-zopenalex-snapshot
Primal-dual active set method for evaluating American put options on zero-coupon bonds
inferred← citeshttps://doi.org/10.1016/j.cnsns.2014.10.003openalex-snapshot
Pricing American put option on zero-coupon bond in a jump-extended CIR model
inferred← citeshttps://doi.org/10.1093/rfs/15.5.1355openalex-snapshot
Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
inferred← citeshttps://doi.org/10.1287/mnsc.46.8.1116.12027openalex-snapshot
Analytical Valuation of American-Style Asian Options
inferred← citeshttps://doi.org/10.4067/s0717-68212004012400002openalex-snapshot
Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
inferred← citeshttps://doi.org/10.5354/0719-0816.2005.56454openalex-snapshot
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