A Simple Approach to Interest-Rate Option Pricing
โ Scribed by Turnbull, S. M.; Milne, F.
- Book ID
- 121861930
- Publisher
- Oxford University Press
- Year
- 1991
- Tongue
- English
- Weight
- 996 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0893-9454
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In the last 15 years or so, tremendous efforts and progress have been made in valuing interest rate sensitive derivative securities. Broadly speaking, two different approaches have been used. Some authors have modeled interest rates in an equilibrium setting and derived bond prices and other interes
Interest rate is a fundamental determinant of asset prices in financial markets. Many stochastic models have been developed by academic researchers in the continuous-time setting (see, e.g., Vasicek [10], Brennan and Schwartz [1 ], Cox, Ingersoll and Ross ). These models provide a rich framework for