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A simple approach to bond option pricing

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  • Jason Z. Wei

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  • Jason Z. Wei, 1997. "A simple approach to bond option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(2), pages 131-160, April.
    • Handle: RePEc:wly:jfutmk:v:17:y:1997:i:2:p:131-160
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    Cited by:

    1. Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe, 2010. "Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 645-662.
    2. Joel R. Barber, 2005. "Bond Option Valuation for Non‐Markovian Interest Rate Processes," The Financial Review, Eastern Finance Association, vol. 40(4), pages 519-532, November.
    3. João Pedro Vidal Nunes & Pedro Miguel Silva Prazeres, 2014. "Pricing Swaptions Under Multifactor Gaussian Hjm Models," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 762-789, October.
    4. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).

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