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The analysis and valuation of interest rate options

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  • Stapleton, R. C.
  • Subrahmanyam, M. G.

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  • Stapleton, R. C. & Subrahmanyam, M. G., 1993. "The analysis and valuation of interest rate options," Journal of Banking & Finance, Elsevier, vol. 17(6), pages 1079-1095, December.
    • Handle: RePEc:eee:jbfina:v:17:y:1993:i:6:p:1079-1095
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    Cited by:

    1. Chen, Homing & Hu, Cheng-Feng, 2010. "A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model," European Journal of Operational Research, Elsevier, vol. 204(2), pages 343-354, July.
    2. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
    3. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
    4. 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.

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