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The duration of option portfolios

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  • Garman, Mark B.

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  • Garman, Mark B., 1985. "The duration of option portfolios," Journal of Financial Economics, Elsevier, vol. 14(2), pages 309-315, June.
    • Handle: RePEc:eee:jfinec:v:14:y:1985:i:2:p:309-315
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    Cited by:

    1. Padmaja Kadiyala, 2000. "The Relation Between The Magnitude Of Growth Opportunities And The Duration Of Equity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 285-310, September.
    2. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.
    3. 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.
    4. Jacoby, Gady & Roberts, Gordon S., 2003. "Default- and call-adjusted duration for corporate bonds," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2297-2321, December.
    5. Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.
    6. Lesseig, Vance P. & Stock, Duane, 2000. "Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt," Journal of Business Research, Elsevier, vol. 49(3), pages 289-301, September.
    7. Nawalkha, Sanjay K., 1995. "The duration vector: A continuous-time extension to default-free interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1359-1366, November.

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