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Bond options and bond portfolio insurance

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  • Sercu, P.

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  • Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.
    • Handle: RePEc:eee:insuma:v:10:y:1991:i:3:p:203-230
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    1. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
    2. Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 419-440, December.
    3. Garman, Mark B, 1985. "Towards a Semigroup Pricing Theory," Journal of Finance, American Finance Association, vol. 40(3), pages 847-861, July.
    4. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    5. Courtadon, Georges, 1982. "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 75-100, March.
    6. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
    7. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    8. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    9. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    10. Brennan, Michael J & Schwartz, Eduardo S, 1980. "Conditional Predictions of Bond Prices and Returns," Journal of Finance, American Finance Association, vol. 35(2), pages 405-417, May.
    11. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, vol. 5(1), pages 67-88, August.
    12. Jones, E. Philip & Mason, Scott P., 1980. "Valuation of loan guarantees," Journal of Banking & Finance, Elsevier, vol. 4(1), pages 89-107, March.
    13. Rendleman, Richard J. & Bartter, Brit J., 1980. "The Pricing of Options on Debt Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 11-24, March.
    14. Garman, Mark B., 1985. "The duration of option portfolios," Journal of Financial Economics, Elsevier, vol. 14(2), pages 309-315, June.
    15. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-799, September.
    16. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
    17. Robert R. Bliss & Ehud I. Ronn, 1989. "Arbitrage‐Based Estimation of Nonstationary Shifts in the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(3), pages 591-610, July.
    18. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
    19. Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
    20. Ball, Clifford A. & Torous, Walter N., 1983. "Bond Price Dynamics and Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(4), pages 517-531, December.
    21. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    22. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    23. Artzner, Philippe & Delbaen, Freddy, 1990. "'Finem Lauda' or the risks in swaps," Insurance: Mathematics and Economics, Elsevier, vol. 9(4), pages 295-303, December.
    24. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    25. Ritchken, Peter & Boenawan, Kiekie, 1990. "On Arbitrage-Free Pricing of Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 45(1), pages 259-264, March.
    26. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    27. Marsh, Terry A & Rosenfeld, Eric R, 1983. "Stochastic Processes for Interest Rates and Equilibrium Bond Prices," Journal of Finance, American Finance Association, vol. 38(2), pages 635-646, May.
    28. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    29. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
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