IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v45y1990i1p259-64.html
   My bibliography  Save this article

On Arbitrage-Free Pricing of Interest Rate Contingent Claims

Author

Listed:
  • Ritchken, Peter
  • Boenawan, Kiekie

Abstract

Unlike most interest rate claim models, the Ho-Lee (1986) model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interest rates can occur. This article modifies the model such that interest rates are well behaved. Copyright 1990 by American Finance Association.

Suggested Citation

  • Ritchken, Peter & Boenawan, Kiekie, 1990. "On Arbitrage-Free Pricing of Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 45(1), pages 259-264, March.
    • Handle: RePEc:bla:jfinan:v:45:y:1990:i:1:p:259-64
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-1082%28199003%2945%3A1%3C259%3AOAPOIR%3E2.0.CO%3B2-M&origin=repec
    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 search for a different version of it.

    Citations

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


    Cited by:

    1. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, January.
    2. Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.
    3. L. L. Ghezzi, 1997. "Immunization and Max–Min Optimal Control," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 701-711, December.
    4. Jiang, George J., 1997. "A generalized one-factor term structure model and pricing of interest rate derivative securities," Research Report 97A34, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    5. repec:dgr:rugsom:97a34 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:45:y:1990:i:1:p:259-64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.