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Evaluation of the GIC rollover option

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  • Pedersen, Hal W.
  • Shiu, Elias S. W.

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  • Pedersen, Hal W. & Shiu, Elias S. W., 1994. "Evaluation of the GIC rollover option," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 117-127, May.
    • Handle: RePEc:eee:insuma:v:14:y:1994:i:2:p:117-127
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    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    2. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
    3. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.
    4. Miltersen, Kristian R. & Persson, Svein-Arne, 1999. "Pricing rate of return guarantees in a Heath-Jarrow-Morton framework," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 307-325, December.

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