The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements

Author:

BRIYS ERIC,CROUHY MICHEL,SCHÖBEL RAINER

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference30 articles.

1. Bond price dynamics and options;Ball;Journal of Financial and Quantitative Analysis,1983

2. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

3. Bouaziz Laurent Eric Briys Michel Crouhy 1990 The pricing of forward-starting Asian options Working paper, Groupe HEC

4. An equilibrium model of bond pricing and a test of market efficiency;Brennan;Journal of Financial and Quantitative Analysis,1982

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