Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
- 1 October 1991
- journal article
- Published by Wiley in Mathematical Finance
- Vol. 1 (4) , 77-94
- https://doi.org/10.1111/j.1467-9965.1991.tb00020.x
Abstract
No abstract availableKeywords
This publication has 20 references indexed in Scilit:
- Jump-Diffusion Processes and the Term Structure of Interest RatesThe Journal of Finance, 1988
- Jump‐Diffusion Processes and the Term Structure of Interest RatesThe Journal of Finance, 1988
- The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest RatesThe Journal of Finance, 1986
- The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest RatesThe Journal of Finance, 1986
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- An Intertemporal General Equilibrium Model of Asset PricesEconometrica, 1985
- An Equilibrium Model of Bond Pricing and a Test of Market EfficiencyJournal of Financial and Quantitative Analysis, 1982
- The Pricing of Options on Default-Free BondsJournal of Financial and Quantitative Analysis, 1982
- An arbitrage model of the term structure of interest ratesJournal of Financial Economics, 1978
- An equilibrium characterization of the term structureJournal of Financial Economics, 1977