A simple time-varying binomial model for the valuation of interest rate-contingent claims
Year of publication: |
1991
|
---|---|
Authors: | Ronn, Ehud I. |
Other Persons: | Sias, Richard W. (contributor) |
Published in: |
Advances in futures and options research : a research annual. - Stamford, Conn. : JAI Press, ISSN 1048-1559, ZDB-ID 1115175-4. - Vol. 5.1991, p. 89-111
|
Subject: | Zinsderivat | Interest rate derivative | CAPM | Zinsstruktur | Yield curve | Theorie | Theory | USA | United States | 1989 |
-
Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn, (1993)
-
A one-factor model of interest rates and its application to treasury bond options
Black, Fischer, (1990)
-
An econometric model of the term structure of interest-rate swap yields
Duffie, Darrell, (1997)
- More ...
-
Reconcilable differences : momentum trading by institutions
Sias, Richard W., (2007)
-
Changes in institutional ownership and stock returns : assessment and methodology
Sias, Richard W., (2006)
-
Institutional industry herding
Choi, Nicole, (2009)
- More ...