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The Pricing of Options on Debt Securities

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  • Rendleman, Richard J.
  • Bartter, Brit J.

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  • Rendleman, Richard J. & Bartter, Brit J., 1980. "The Pricing of Options on Debt Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(01), pages 11-24, March.
  • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:01:p:11-24_00
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    1. repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500293 is not listed on IDEAS
    2. Zhiqiang Li & Jie Xiong, 2015. "Stability of the filter with Poisson observations," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 293-313, October.
    3. repec:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2387-x is not listed on IDEAS
    4. Andrew H. Chen & David C. Ling, 1989. "Optimal Mortgage Refinancing with Stochastic Interest Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(3), pages 278-299.
    5. Yatin N. Bhagwat & Michael C. Ehrhardt & David W. Johnson, 1991. "The Two-State Interest Rate Model For Pricing Bonds: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 105-115, June.
    6. Alain François-Heude & Ouidad Yous, 2014. "On the liquidity of CAC 40 index options Market," Working Papers 2014-445, Department of Research, Ipag Business School.
    7. Lesseig, Vance P. & Stock, Duane, 2000. "Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt," Journal of Business Research, Elsevier, vol. 49(3), pages 289-301, September.
    8. Zura Kakushadze, 2015. "Coping with Negative Short-Rates," Papers 1502.06074, arXiv.org, revised Aug 2015.
    9. François-Heude, Alain & Yousfi, Ouidad, 2013. "On the liquidity of CAC 40 index options Market," MPRA Paper 47921, University Library of Munich, Germany, revised 01 Jul 2013.
    10. Bali, Turan G., 2003. "Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 201-228, February.
    11. Francisco Venegas Martínez, 2001. "Opciones, cobertura y procesos de difusión con saltos: Una aplicación a los títulos de Gcarso," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 16(2), pages 203-226.
    12. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
    13. Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.

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