Pricing Stock and Bond Options when the Default-Free Rate is Stochastic
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 24 (1989)
Issue (Month): 04 (December)
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- 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.
- Jiang, G.J. & Sluis, P.J. van der, 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.
- Griselda Deelstra & Jacques Janssen, 1998. "Interaction between asset liability management and risk theory," ULB Institutional Repository 2013/7586, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
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