Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1-Reference-Cited by-同舟云学术

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Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1

Published:1992-10 Issue:4 Volume:5 Page:613-636
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Chen Ren-Raw,Scott Louis

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/5/4/613/5312082/050613.pdf

Reference29 articles.

1. Abramowitz M. Stegun I. A. (eds.), 1972, Handbook of Mathematical Functions, Tenth Printing, National Bureau of Standards, Applied Mathematics Series 55, U.S. Government Printing Office, Washington, D C.

2. Barone-Adesi G. Elliott R. J. , 1989, “Free Boundary’ Problems in the Valuation of Securities,” working paper, University of Alberta.

3. The pricing of commodity contracts

4. A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

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