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The Pricing of Interest Rate Contingent Claims

https://doi.org/10.2139/ssrn.1482911
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1096-9934(199704)17:2<131::aid-fut1>3.0.co;2-kopenalex-extracted
A simple approach to bond option pricing
inferredcites →https://doi.org/10.1016/0022-0531(79)90043-7openalex-extracted
Martingales and arbitrage in multiperiod securities markets
inferredcites →https://doi.org/10.1016/0022-0531(91)90148-wopenalex-extracted
On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
inferredcites →https://doi.org/10.1016/0304-405x(78)90020-xopenalex-extracted
On the term structure of interest rates
inferredcites →https://doi.org/10.1016/0304-405x(89)90056-1openalex-extracted
A nonlinear general equilibrium model of the term structure of interest rates
inferredcites →https://doi.org/10.1016/0378-4266(79)90011-6openalex-extracted
A continuous time approach to the pricing of bonds
inferredcites →https://doi.org/10.1017/s002190020010289xopenalex-extracted
Changes of numéraire, changes of probability measure and option pricing
inferredcites →https://doi.org/10.1093/rfs/5.4.531openalex-extracted
A Theory of the Nominal Term Structure of Interest Rates
inferredcites →https://doi.org/10.1111/j.1467-9965.1994.tb00060.xopenalex-extracted
WHEN IS THE SHORT RATE MARKOVIAN?
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03472.xopenalex-extracted
A Multivariate Model of the Term Structure
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb04884.xopenalex-extracted
A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02413.xopenalex-extracted
An Exact Bond Option Formula
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04657.xopenalex-extracted
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
inferredcites →https://doi.org/10.1142/9789812819222_0013openalex-extracted
BOND PRICING AND THE TERM STRUCTURE OF INTEREST RATES: A NEW METHODOLOGY FOR CONTINGENT CLAIMS VALUATION
inferredcites →https://doi.org/10.1214/aoap/1177004898openalex-extracted
An Arbitrage Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2139/ssrn.1482909openalex-extracted
The Normal Class of Arbitrage-Free Spot-Rate Models - Implication and Implementation
inferredcites →https://doi.org/10.2307/1911242openalex-extracted
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.3905/jfi.1991.408014openalex-extracted
General Solutions of Some Interest Rate-Contingent Claim Pricing Equations
inferredcites →https://doi.org/10.3905/jfi.1991.692347openalex-extracted
Common Factors Affecting Bond Returns
inferredcites →https://doi.org/10.3982/ecta831forthopenalex-extracted
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