IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v21y1997i4p541-562.html
   My bibliography  Save this article

A path-dependent approach to security valuation with application to interest rate contingent claims

Author

Listed:
  • Breeden, Douglas T.
  • Gilkeson, James H.

Abstract

No abstract is available for this item.

Suggested Citation

  • Breeden, Douglas T. & Gilkeson, James H., 1997. "A path-dependent approach to security valuation with application to interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 541-562, April.
    • Handle: RePEc:eee:jbfina:v:21:y:1997:i:4:p:541-562
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(96)00062-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. David C. Nachman, 1988. "Spanning and Completeness with Options," The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 311-328.
    3. Ramaswamy, Krishna & Sundaresan, Suresh M., 1986. "The valuation of floating-rate instruments : Theory and evidence," Journal of Financial Economics, Elsevier, vol. 17(2), pages 251-272, December.
    4. Kaushik I. Amin & Robert A. Jarrow, 1992. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 217-237, October.
    5. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
    6. Peter A. Abken, 1994. "Over-the-counter financial derivatives: risky business?," Economic Review, Federal Reserve Bank of Atlanta, vol. 79(Mar), pages 1-22.
    7. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    8. Bicksler, James & Chen, Andrew H, 1986. "An Economic Analysis of Interest Rate Swaps," Journal of Finance, American Finance Association, vol. 41(3), pages 645-655, July.
    9. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    10. William C. Hunter & David W. Stowe, 1992. "Path-dependent options," Economic Review, Federal Reserve Bank of Atlanta, issue Mar, pages 29-34.
    11. Ho, Thomas S Y & Lee, Sang Bin, 1990. "Interest Rate Futures Options and Interest Rate Options," The Financial Review, Eastern Finance Association, vol. 25(3), pages 345-370, August.
    12. Turnbull, Stuart M & Milne, Frank, 1991. "A Simple Approach to Interest-Rate Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 87-120.
    13. Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," The Journal of Business, University of Chicago Press, vol. 51(4), pages 653-672, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    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. Dijkstra, Theo K. & Yao, Yong, 2002. "Moment generating function approach to pricing interest rate and foreign exchange rate claims," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 163-178, October.
    3. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    4. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
    5. Yong-Jin Kim & Naoto Kunitomo, 1999. "Pricing Options under Stochastic Interest Rates: A New Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 6(1), pages 49-70, January.
    6. José Renato Haas Ornelas & Marcelo Yoshio Takami, 2011. "Recovering Risk-Neutral Densities from Brazilian Interest Rate Options," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(1), pages 9-26.
    7. Michael J. O'Neill & Zhangxin Liu & Tom Smith, 2017. "Fund Volatility Index using equity market state prices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 837-853, September.
    8. Naoto Kunitomo & Yong‐Jin Kim, 2007. "Effects Of Stochastic Interest Rates And Volatility On Contingent Claims," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 71-106, March.
    9. Naoto Kunitomo & Yong-Jin Kim, 2000. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims," CIRJE F-Series CIRJE-F-67, CIRJE, Faculty of Economics, University of Tokyo.
    10. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    11. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46.
    12. René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Center for Research in Economics and Statistics.
    13. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2021. "A model-free approach to multivariate option pricing," Review of Derivatives Research, Springer, vol. 24(2), pages 135-155, July.
    14. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
    15. Alexandre M. Baptista, 2005. "Options And Efficiency In Multidate Security Markets," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 569-587, October.
    16. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    17. Yacine Aït‐Sahalia, 2002. "Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion," Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October.
    18. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007, January-A.
    19. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1987-2013, August.
    20. 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-.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:21:y:1997:i:4:p:541-562. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.