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Option Prices with Stochastic Interest Rates: Black/Scholes and Ho/Lee unified

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  • Wilhelm, Jochen

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  • Wilhelm, Jochen, 2001. "Option Prices with Stochastic Interest Rates: Black/Scholes and Ho/Lee unified," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 8, University of Passau, Faculty of Business and Economics.
    • Handle: RePEc:zbw:upadbr:8
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    References listed on IDEAS

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    1. Miltersen, Kristian R. & Schwartz, Eduardo S., 1998. "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(1), pages 33-59, March.
    2. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
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    Cited by:

    1. Wilhelm, Jochen, 2003. "Unternehmensbewertung: Eine finanzmarkttheoretische Untersuchung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 10, University of Passau, Faculty of Business and Economics.

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