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Valuing debt options : Empirical evidence

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  • Dietrich-Campbell, Bruce
  • Schwartz, Eduardo

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  • Dietrich-Campbell, Bruce & Schwartz, Eduardo, 1986. "Valuing debt options : Empirical evidence," Journal of Financial Economics, Elsevier, vol. 16(3), pages 321-343, July.
    • Handle: RePEc:eee:jfinec:v:16:y:1986:i:3:p:321-343
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    Citations

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    Cited by:

    1. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
    2. David C. Ling, 1993. "Mortgage‐Backed Futures and Options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 47-67, March.
    3. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182.
    4. Iglesias Vázquez, E.M. & Arranz Pérez, M., 2001. "Análisis de las relaciones entre el tipo de interés a corto plazo y su incertidumbre en Alemania, España y Suiza," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 19, pages 37-47, Diciembre.
    5. Al-Zoubi, Haitham A., 2009. "Short-term spot rate models with nonparametric deterministic drift," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 731-747, August.
    6. 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.
    7. Hui, C.H. & Lo, C.F. & Wong, T.C. & Man, P.K., 2006. "Measuring provisions for collateralised retail lending," Journal of Economics and Business, Elsevier, vol. 58(4), pages 343-361.
    8. Alessio Caldarera & Celso Brunetti, 2005. "Asset Prices and Asset Correlations in Illiquid Markets," 2005 Meeting Papers 288, Society for Economic Dynamics.
    9. Juan M. Moraleda & Ton Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute.
    10. Staikouras, Sotiris K., 2006. "Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 169-189, May.
    11. Nikolaos Panigirtzoglou & James Proudman & John Spicer, 2000. "Persistence and volatility in short-term interest rates," Bank of England working papers 116, Bank of England.

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