✦ LIBER ✦

Interest-rate option pricing revisited

✍ Scribed by Merrill, Craig; Babbel, David

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 193 KB
Volume: 16
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199612)16:8<859::aid-fut1>3.0.co;2-l

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Interest rate models and option pricing:

Interest rate models and option pricing: A sensitivity analysis

✍ Y.K. Tse 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 343 KB

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

Two-State Option Pricing: Binomial Model

Two-State Option Pricing: Binomial Models Revisited

✍ George M. Jabbour; Marat V. Kramin; Stephen D. Young 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 112 KB

## Abstract This article revisits the topic of two‐state option pricing. It examines the models developed by Cox, Ross, and Rubinstein (1979), Rendleman and Bartter (1979), and Trigeorgis (1991) and presents two alternative binomial models based on the continuous‐time and discrete‐time geometric Br

Pricing interest rate futures options wi

Pricing interest rate futures options with futures-style margining

✍ Ren-Raw Chen; Louis Scott 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 426 KB

which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e

On pricing of interest rate derivatives

✍ T. Di Matteo; M. Airoldi; E. Scalas 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 442 KB

VIX option pricing

✍ Yueh-Neng Lin; Chien-Hung Chang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 268 KB

## Abstract Substantial progress has been made in developing more realistic option pricing models for S&P 500 index (SPX) options. Empirically, however, it is not known whether and by how much each generalization of SPX price dynamics improves VIX option pricing. This article fills this gap by firs

Martingale option pricing

✍ J.L. McCauley; G.H. Gunaratne; K.E. Bassler 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 163 KB