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Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

Persistent link: https://www.econbiz.de/10001544833

The valuation of American options with stochastic interest rates : a generalization of the Geske-Johnson technique

Ho, Teng-suan - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 827-840

Persistent link: https://www.econbiz.de/10001222419

The valuation of American options on bonds

Ho, Teng-suan - In: Journal of banking & finance 21 (1997) 11, pp. 1487-1513

Persistent link: https://www.econbiz.de/10001236735

Multivariate binomial approximations for asset prices with nonstationary variance and covariance characteristics

Ho, Teng-suan - In: The review of financial studies 8 (1995) 4, pp. 1125-1252

Persistent link: https://www.econbiz.de/10001198366

Pricing and hedging American options : a recursive integration method

Huang, Jing-Zhi - In: The review of financial studies 9 (1996) 1, pp. 277-300

Persistent link: https://www.econbiz.de/10001198902

The pricing of marked-to-market contingent claims in a no-arbitrage economy

Satchell, Stephen - In: Australian journal of management 22 (1997) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10001256338

Who buys and who sells options : the role of options in an economy with background risk

Franke, Günter - In: Journal of economic theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10001246473

Credit risk and the pricing of Japanese yen interest rate swaps

Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 1997

Persistent link: https://www.econbiz.de/10000992592

The term structure of interest rates : alternative approaches and their implications for the valuation of contingent claims

Subrahmanyam, Marti G. - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 7-28

Persistent link: https://www.econbiz.de/10001334894

The Valuation of Caps, Floors and Swaptions in a Multi-Factor Spot-Rate Model

Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - 2002

We build a multi-factor, no-arbitrage model of the term structure of spot interest rates. The stochastic factors are the short-term interest rate and the premia of the futures rates over the short-term interest rates.(...)

Persistent link: https://www.econbiz.de/10005847117

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