Option Prices with Stochastic Interest Rates - Black/Scholes and Ho/Lee Unified

The option pricing model by Black and Scholes (1973) and the term structure model by Ho and Lee (1986) are among the most influential models of capital market theory. (...)

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Year of publication:	2001
Authors:	Wilhelm, Jochen
Institutions:	Universität <Passau> / Lehrstuhl für Betriebswirtschaftslehre mit Schwerpunkt Finanzierung
Subject:	Optionspreistheorie \| Black-Scholes-Modell \| HJM-Modell

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Table of Contents
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0 Introduction
1 The basic model and its implications for the term structure
2 The stock price model3 The process parameters
4 The pricing of derivatives
5 European call options
6 Futures prices
7 Concluding remarks
References

Persistent link: https://www.econbiz.de/10005844814