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Moment generating function approach to pricing interest rate and foreign exchange rate claims

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  • Dijkstra, Theo K.
  • Yao, Yong
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 31 (2002)
    Issue (Month): 2 (October)
    Pages: 163-178

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    Handle: RePEc:eee:insuma:v:31:y:2002:i:2:p:163-178

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Dybvig, Philip H, 1988. "Distributional Analysis of Portfolio Choice," The Journal of Business, University of Chicago Press, vol. 61(3), pages 369-93, July.
    2. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-51, October.
    3. Antoine Frachot, 1995. "Factor Models Of Domestic And Foreign Interest Rates With Stochastic Volatilities," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 5(2), pages 167-185.
    4. Amin, Kaushik I. & Jarrow, Robert A., 1991. "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(3), pages 310-329, September.
    5. Darrell Duffie & Rui Kan, 1996. "A Yield-Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(4), pages 379-406.
    6. Gerber, Hans U. & Shiu, Elias S. W., 1996. "Actuarial bridges to dynamic hedging and option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 183-218, November.
    7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
    8. Farshid Jamshidian, 1996. "Bond, futures and option evaluation in the quadratic interest rate model," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(2), pages 93-115.
    9. Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 90(1), pages 75-89, February.
    10. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, Elsevier, vol. 94(1-2), pages 9-51.
    11. Bakshi, Gurdip S & Chen, Zhiwu, 1997. " Equilibrium Valuation of Foreign Exchange Claims," Journal of Finance, American Finance Association, American Finance Association, vol. 52(2), pages 799-826, June.
    12. Banz, Rolf W & Miller, Merton H, 1978. "Prices for State-contingent Claims: Some Estimates and Applications," The Journal of Business, University of Chicago Press, vol. 51(4), pages 653-72, October.
    13. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 12(04), pages 627-627, November.
    14. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-52.
    15. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 177-188, November.
    16. Heston, Steven L, 1993. " Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 48(3), pages 933-47, July.
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    Cited by:
    1. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(8), pages 1727-1751, December.
    2. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(6), pages 815-824, June.
    3. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.

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