IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v24y1989i04p447-457_01.html
   My bibliography  Save this item

Pricing Stock and Bond Options when the Default-Free Rate is Stochastic

Citations

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


Cited by:

  1. George J. Jiang & Pieter J. van der Sluis, 1999. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Review of Finance, European Finance Association, vol. 3(3), pages 273-310.
  2. Griselda Deelstra & Jacques Janssen, 1998. "Interaction between asset liability management and risk theory," ULB Institutional Repository 2013/7586, ULB -- Universite Libre de Bruxelles.
  3. Jr-Wei Huang & Sharon S. Yang & Chuang-Chang Chang, 2021. "Modeling Housing Price Dynamics and their Impact on the Cost of no-Negative-Equity-Guarantees for Equity Releasing Products," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 249-279, August.
  4. Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
  5. Sinha, Pankaj & Sharma, Sakshi & Sondhi, Kriti, 2013. "Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model," MPRA Paper 47442, University Library of Munich, Germany.
  6. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
  7. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
  8. K. Nawalkha, Sanjay, 1995. "Face value convergence for stochastic bond price processes: a note on Merton's partial equilibrium option pricing model," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 153-164, April.
  9. Chang, Chuang-Chang & Tsay, Min-Hung & Lin, Jun-Biao, 2018. "A generalized Brennan–Rubinstein approach for valuing options with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 92-99.
  10. F. Antonelli & A. Ramponi & S. Scarlatti, 2021. "CVA and vulnerable options pricing by correlation expansions," Annals of Operations Research, Springer, vol. 299(1), pages 401-427, April.
  11. Chiang, Shu Ling & Tsai, Ming Shann, 2020. "The valuation of deposit insurance allowing for the interest rate spread and early-bankruptcy risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 345-356.
  12. Hatem Ben-Ameur & Michèle Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics.
  13. Isabelle Bajeux-Besnainou & Roland Portait, 1998. "Dynamic Asset Allocation in a Mean-Variance Framework," Management Science, INFORMS, vol. 44(11-Part-2), pages 79-95, November.
  14. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
  15. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  16. Liu, Ying & Papakirykos, Eli & Yuan, Mingwei, 2006. "Market Valuation and Risk Assessment of Canadian Banks," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 2(1), pages 1-18.
  17. Ahmad M. Talafha & Emmanuel Thompson, 2017. "On Valuing European Option: VAR-COVAR Approach," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 6(3), pages 1-1.
  18. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.
  19. San-Lin Chung, 2000. "American option valuation under stochastic interest rates," Review of Derivatives Research, Springer, vol. 3(3), pages 283-307, October.
  20. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
  21. Son-Nan Chen & Pao-Peng Hsu & Chang-Yi Li, 2016. "Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 573-592, April.
  22. Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.
  23. Cocozza, Rosa & De Simone, Antonio, 2011. "One numerical procedure for two risk factors modeling," MPRA Paper 30859, University Library of Munich, Germany.
  24. Ken Hung & Chang-Wen Duan & Chin W. Yang, 2006. "Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 405-424, November.
  25. Kim, In Joon & Park, Gun Youb & Hyun, Jung-Soon, 2007. "What is the correct meaning of implied volatility?," Finance Research Letters, Elsevier, vol. 4(3), pages 179-185, September.
  26. Rose Neng Lai & Robert Order, 2014. "Securitization, Risk-Taking and the Option to Change Strategy," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 343-362, June.
  27. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
  28. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  29. Kartikay Gupta & Niladri Chatterjee, 2021. "Stocks Recommendation from Large Datasets Using Important Company and Economic Indicators," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 667-689, December.
  30. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series 375, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. 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.
  32. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.
  33. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2020. "A moment matching method for option pricing under stochastic interest rates," Papers 2005.14063, arXiv.org.
  34. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017, January-A.
  35. repec:uts:finphd:37 is not listed on IDEAS
  36. Matthias Fleckenstein & Francis A. Longstaff, 2023. "Small Business Equity Returns: Empirical Evidence from the Business Credit Card Securitization Market," Journal of Finance, American Finance Association, vol. 78(1), pages 389-425, February.
  37. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
  38. 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.
  39. Duan, J. & Sealey, C. W. & Yan, Y., 1999. "Managing banks' duration gaps when interest rates are stochastic and equity has limited liability," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 253-265, September.
  40. Isabelle Bajeux-Besnainou & Roland Portait, 1998. "Pricing stock and bond derivatives with a multi-factor Gaussian model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 207-225.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.