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The valuation of options on yields

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  • Longstaff, Francis A.

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  • Longstaff, Francis A., 1990. "The valuation of options on yields," Journal of Financial Economics, Elsevier, vol. 26(1), pages 97-121, July.
    • Handle: RePEc:eee:jfinec:v:26:y:1990:i:1:p:97-121
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    Cited by:

    1. Hubner, Georges, 2001. "The analytic pricing of asymmetric defaultable swaps," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 295-316, February.
    2. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2021. "A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance," Mathematics, MDPI, vol. 9(9), pages 1-28, May.
    3. Nicolas Mougeot, "undated". "Credit Spread Specification and the Pricing of Spread Options," FAME Research Paper Series rp14, International Center for Financial Asset Management and Engineering.
    4. 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.
    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. Tsung-Yu Hsieh & Chi-Hsun Chou & Son-Nan Chen, 2015. "Quanto Interest-Rate Exchange Options in a Cross-Currency Libor Market Model," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(5), pages 816-830, May.
    7. Blöchlinger, Andreas, 2021. "Interest rate risk in the banking book: A closed-form solution for non-maturity deposits," Journal of Banking & Finance, Elsevier, vol. 125(C).
    8. F. Jamshidian, 1995. "A simple class of square-root interest-rate models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 61-72.
    9. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015. "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
    10. Grunbichler, Andreas & Longstaff, Francis A., 1996. "Valuing futures and options on volatility," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 985-1001, July.
    11. 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.
    12. Gurdip S. Bakshi & Zhiwu Chen, "undated". "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
    13. 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.
    14. Choi, Hanbok & Eom, Young Ho & Jang, Woon Wook & Kim, Don H., 2017. "Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 47-63.
    15. 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.
    16. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
    17. 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.
    18. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
    19. Giacometti, Rosella & Teocchi, Mariangela, 2005. "On pricing of credit spread options," European Journal of Operational Research, Elsevier, vol. 163(1), pages 52-64, May.
    20. 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.

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