Review of Financial Studies Vol. 4 No. 1 1991
A Simple Approach to Interest-Rate Option Pricing
Abstract
[A simple introduction to contingent claim valuation of risky assets in a discrete time, stochastic interest-rate economy is provided. Taking the term structure of interest rates as exogenous, closed-form solutions are derived for European options written on (i) Treasury bills, (ii) interest-rate forward contracts, (iii) interest-rate futures contracts, (iv) Treasury bonds, (v) interest-rate caps, (vi) stock options, (vii) equity forward contracts, (viii) equity futures contracts, (ix) Eurodollar liabilities, and (x) foreign exchange contracts.]
- Volume
- 4
- Issue
- 1
- Pages
- 87-120
- Sources
- bibtex:phds-export.bib