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A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 4, pp. 847-880

Persistent link: https://www.econbiz.de/10006693968

Who Buys and Who Sells Options: The Role of Options in an Economy with Background Risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of economic theory 82 (1998) 1, pp. 89-109

Persistent link: https://www.econbiz.de/10007693078

Asset prices and the level of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Beiträge zur Mikro- und zur Makroökonomik : …, (pp. 157-171). 2001

Persistent link: https://www.econbiz.de/10014553662

The valuation of American options on bonds

Ho, T.S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - In: Journal of banking & finance 21 (1997) 11-12, pp. 1487-1514

Persistent link: https://www.econbiz.de/10005903573

Background risk and the demand for state-contingent claims

Franke, Guenter; Stapleton, Richard C.; Subrahmanyam, … - In: Economic theory 23 (2004) 2, pp. 321-336

Persistent link: https://www.econbiz.de/10007155862

Papers - 1 - The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

Satchell, Stephen E.; Stapleton, Richard C.; … - In: Australian journal of management 22 (1997) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10006995164

Idiosyncratic risk, sharing rules and the theory of risk bearing

Franke, Günter - 1992

Persistent link: https://www.econbiz.de/10013387972

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

Franke, Günter - 1995

Persistent link: https://www.econbiz.de/10013388143

The Valuation of American-Style Options on Bonds

Ho, T.S.; Stapleton, Richard C.; Subrahmanyam, Marti G. - Finance Department, Stern School of Business - 1996

Persistent link: https://www.econbiz.de/10005776441

A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives

Peterson, Sandra; Stapleton, Richard C.; Subrahmanyam, … - In: Journal of Financial and Quantitative Analysis 38 (2003) 04, pp. 847-880

We propose a multifactor model in which the spot rate, LIBOR, follows a lognormal process, with a stochastic conditional mean, under the risk-neutral measure. In addition to the spot rate factor, the second factor is related to the premium of the first futures rate over the spot LIBOR....

Persistent link: https://www.econbiz.de/10005138974