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The valuation of options on yields

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  • Longstaff, Francis A.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 26 (1990)
Issue (Month): 1 (July)
Pages: 97-121

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Handle: RePEc:eee:jfinec:v:26:y:1990:i:1:p:97-121

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Web page: http://www.elsevier.com/locate/inca/505576

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Cited by:
  1. Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen, 2014. "A Hybrid Model for Pricing and Hedging of Long Dated Bonds," Research Paper Series 343, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Nicolas Mougeot, . "Credit Spread Specification and the Pricing of Spread Options," FAME Research Paper Series rp14, International Center for Financial Asset Management and Engineering.
  3. Qiang Fu, 1996. "On the valuation of an option to exchange one interest rate for another," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 645-653, May.
  4. Gurdip S. Bakshi & Zhiwu Chen, . "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
  5. Kung, James J. & Wu, E-Ching, 2013. "An evaluation of some popular investment strategies under stochastic interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 96-108.
  6. Grunbichler, Andreas & Longstaff, Francis A., 1996. "Valuing futures and options on volatility," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 985-1001, July.
  7. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
  8. Gilkeson, James H. & Porter, Gary E. & Smith, Stanley D., 2000. "The impact of the early withdrawal option on time deposit pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 107-120.
  9. Shibata, Takashi & Tian, Yuan, 2012. "Debt reorganization strategies with complete verification under information asymmetry," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 141-160.
  10. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.

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