This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

An Exact Bond Option Formula

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jamshidian, Farshid
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28198903%2944%3A1%3C205%3AAEBOF%3E2.0.CO%3B2-R&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 44 (1989)
Issue (Month): 1 (March)
Pages: 205-09
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:44:y:1989:i:1:p:205-09

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Giorgio Santis & Bruno Gerard & Fulvio Ortu, 2000. "Generalized Numeraire Portfolios," University of California at Los Angeles, Anderson Graduate School of Management 1027, Anderson Graduate School of Management, UCLA. [Downloadable!]
  2. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation, Yale University. [Downloadable!]
  3. Hortensia Fontanals Albiol & Sergio Zuniga, 2002. "Modelos de tasas de interes en Chile: una revision," Working Papers in Economics 87, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
  4. Ralph S.J Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Peter Ritchken & L. Sankarasubramanian, 1992. "On Markovian representations of the term structure," Working Paper 9214, Federal Reserve Bank of Cleveland. [Downloadable!]
  6. Driessen, J. & Klaassen, P. & Melenberg, B., 2000. "The performance of multi-factor term structure models for pricing and hedging caps and swaptions," Discussion Paper 93, Tilburg University, Center for Economic Research. [Downloadable!]
  7. Aase, Knut K., 2005. "On the Consistency of the Lucas Pricing Formula," Discussion Papers 2005/9, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  8. Hansen, Thomas Lyse & Jensen, Bjarne Astrup, 2005. "Energy Options in an HJM Framework," Working Papers 2004-10, Copenhagen Business School, Department of Finance. [Downloadable!]
  9. Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
    Other versions:
  11. Marc Henrard, 2003. "Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model," Finance 0310009, EconWPA. [Downloadable!]
  12. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Leif Andersen, Jesper Andreasen, 2000. "Volatility skews and extensions of the Libor market model," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(1), pages 1-32, March. [Downloadable!] (restricted)
  14. 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. [Downloadable!]
  15. Anna Rita Bacinello, Fulvio Ortu, 1999. "Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(4), pages 293-312, December. [Downloadable!] (restricted)
  16. Erik Schlögl, Lutz Schlögl, 2000. "A square root interest rate model fitting discrete initial term structure data," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(3), pages 183-209, September. [Downloadable!] (restricted)
    Other versions:
  17. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," NBER Working Papers 4676, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  18. A. Dudenhausen & Erik Schlögl & L. Schlögl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series 19, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  19. Peter C. B. Phillips & Jun Yu, 2005. "Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan," Working Papers 08-2005, Singapore Management University, School of Economics. [Downloadable!]
  20. Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002. "On the Use of Numeraires in Option pricing," Working Paper Series in Economics and Finance 484, Stockholm School of Economics. [Downloadable!]
  21. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
    Other versions:
  22. Nielsen, J. Aase, and Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? No RePEc service, like IDEAS, charges for the use or the display of bibliographic data.

This page was last updated on 2008-11-26.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.