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The pricing of options on debt securities
Rendleman jr, Richard J.; Bartter, Brit J. - In: Journal of financial and quantitative analysis : JFQA 15 (1980) 1, pp. 11-24
Persistent link: https://www.econbiz.de/10002688638
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DURATION-BASED HEDGING WITH TREASURY BOND FUTURES - A survey of derivatives textbooks and other documents shows at least four different treatments of duration-based hedging with Tr...
Rendleman Jr, Richard J. - In: The journal of fixed income 9 (1999) 1, pp. 84-91
Persistent link: https://www.econbiz.de/10007337541
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Option Investing from a Risk-Return Perspective - Here the author derives the binomial option model via the CAPM. The derivation makes it clear that the expected returns from optio...
Rendleman Jr, Richard J. - In: The journal of portfolio management : a publication of … (1999), pp. 109-121
Persistent link: https://www.econbiz.de/10007339200
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Option Pricing-Based Bond Value Estimates and a Fundamental Components Approach to Account for Corporate Debt
Barth, Mary E.; Landsman, Wayne R.; Rendleman Jr, Richard J. - In: The accounting review : a journal of the American … 73 (1998) 1, pp. 73-102
Persistent link: https://www.econbiz.de/10007360131
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Covered Call Writing from an Expected Utility Perspective
Rendleman Jr, Richard J. - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 63
Persistent link: https://www.econbiz.de/10005952064
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Option Investing from a Risk-Return Perspective
Rendleman Jr, Richard J. - In: The journal of portfolio management : a publication of … (1999), pp. 109-121
Persistent link: https://www.econbiz.de/10006571699
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ARTICLES - Implementation of an Option Pricing-Based Bond Valuation Model for Corporate Debt and Its Components
Barth, Mary E.; Landsman, Wayne R.; Rendleman Jr, Richard J. - In: Accounting horizons : a quarterly publication of the … 14 (2000) 4, pp. 455-480
Persistent link: https://www.econbiz.de/10007046812
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DELIVERY OPTIONS IN THE PRICING AND HEDGING OF TREASURY BOND AND NOTE FUTURES - An arbitrage-free stochastic term structure model is used here to determine the equilibrium Treasury...
Rendleman Jr, Richard J. - In: The journal of fixed income 14 (2004) 2, pp. 20-31
Persistent link: https://www.econbiz.de/10007151989
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A GENERAL MODEL FOR HEDGING SWAPS WITH EURODOLLAR FUTURES
Rendleman Jr, Richard J. - In: The journal of fixed income 14 (2004) 1, pp. 17-31
Persistent link: https://www.econbiz.de/10007153025
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INTERPOLATING THE TERM STRUCTURE FROM PAR YIELD AND SWAP CURVES
Rendleman Jr, Richard J. - In: The journal of fixed income 13 (2004) 4, pp. 80-89
Persistent link: https://www.econbiz.de/10007154578