A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.

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  • 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 (1) Treasury bills, (2) interest-rate forward contracts, (3) interest-rate futures contracts, (4) Treasury bonds, (5) interest-rate caps, (6) stock options, (7) equity forward contracts, (8) equity futures contracts, (9) Eurodollar liabilities, and (10) foreign exchange contracts.

Last update from database: 6/11/24, 11:00 PM (AEST)