Arbitrage bounds in markets with noisy prices and the puzzle of negative option prices implicit in bonds
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- Jordan, James V, 1984. "Tax Effects in Term Structure Estimation," Journal of Finance, American Finance Association, vol. 39(2), pages 393-406, June.
- Jordan, Bradford D. & Kuipers, David R., 1997. "Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market," Journal of Financial Economics, Elsevier, vol. 46(1), pages 67-102, October.
- Ronn, Ehud I., 1987. "A New Linear Programming Approach to Bond Portfolio Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 439-466, December.
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- Longstaff, Francis A, 1992. "Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle," The Journal of Business, University of Chicago Press, vol. 65(4), pages 571-592, October.
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- A. Balbás & S. López, 2008. "Sequential Arbitrage Measurements and Interest Rate Envelopes," Journal of Optimization Theory and Applications, Springer, vol. 138(3), pages 361-374, September.
- Lazar Fred & Prisman Eliezer Z., 2012. "Constructing Historical Yield Curves from Very Sparse Spot Rates: A Methodology and Examples from the 1920s Canadian Market," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-24, May.
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