The Pricing of Option on Bond Forwards

참고문헌 (15)

1. Ahn, C., "The Pricing of Foreign Currency Futures Options", 5(3), pp.3 279~301 (1996)
2. "The Pricing of Floating Rate Note", 19, pp.229~250 (1996)
3. Chen, "Exact Solutions for Futures and European Futures Options on Pure Discount Bonds Journal of Financial and Quantitative Analysis 27", pp.1 97~1992 107 (1992)
4. Cox, "The Realtionship between Forward Prices and Futures Prices Journal of Financial Economics 9", pp.4 321~1981 46 (1981)
5. No, "A Theory of the Term Structure of Interest Rates", eco(metrica 53), pp.2 385~1985 407 (1985)
6. Dybvig, P, "Bonds and Bond Option Pricing Based on the Current Term Structure" (1996)
7. Feldman, D, "European Options on Bond Futures: A Closed Form Solution", pp.3 325~1993 33 (1993)
8. Heath, "Bond Pricing and the Term Structure of Interest Rates A New Methodology for Contingent Claims Valuation", eco(metrica 60), pp.1 77~1992 105 (1992)
9. An Exact Bond Option Formula, "Journal of Finance 44", pp.1 205~1989 9 (1989)
10. "Option and Futures Evaluation with Stochastic Interest Rate and Spot Yield" (1991)
11. and Oldfield, "Journal of Financial Economics 9", pp.4 373~1981 82 (1981)
12. Ramaswamy, "The Valuation of Options on Futures Contracts Journal of Finance 40", pp.5 1319~1985 40 (1985)
13. Richard, "A Continuous Time Equilibrium Model of Forward Prices and Futures Prices in a Multi-good Economy Journal of Financial Economics 9", pp.4 347~1981 71 (1981)
14. Turnbull, "A Simple Approach to Interest-Rate Option Pricing Review of Financial Studies 4", pp.1 87~1991 120 (1991)
15. O, "An Equilibrium Characterization of the Term Structure Journal of Financial Economics 5", pp.2 177~1977 88 (1977)

관련 논문AI추천