Câmara, António; Câmara, Ana - In: Quantitative Finance 12 (2012) 8, pp. 1241-1252
This paper extends the literature on Risk-Neutral Valuation Relationships (RNVRs) to derive valuation formulae for options on zero coupon bonds when interest rates are stochastic. We develop Forward-Neutral Valuation Relationships (FNVRs) for the transformed-bounded random walk class. Our...