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The implied volatility of US interest rates : evidence from callable US treasuries
Bliss, Robert R.; Ronn, Ehud I. - 1995
Persistent link: https://www.econbiz.de/10000925735
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Callable US treasury bonds : optimal calls, anomalies, and implied volatilities
Bliss, Robert R.; Ronn, Ehud I. - 1997
Persistent link: https://www.econbiz.de/10000975260
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Callable US treasury bonds : optimal calls, anomalies, and implied volatilities
Bliss, Robert R. - In: The journal of business : B 71 (1998) 2, pp. 211-252
Persistent link: https://www.econbiz.de/10001239857
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A nonstationary trinomial model for the valuation of options on treasury bond futures contracts
Ronn, Ehud I. - In: The journal of futures markets 14 (1994) 5, pp. 597-617
Persistent link: https://www.econbiz.de/10001169815
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Interest rate option pricing with volatility humps
Ritchken, Peter H.; Chuang, Iyuan - In: Review of derivatives research 3 (1999) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10001493259
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On rational jump diffusion models : an approach using potentials
Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349
Persistent link: https://www.econbiz.de/10001238756
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Lattice models for pricing American interest rate claims
Li, Anlong - In: The journal of finance : the journal of the American … 50 (1995) 2, pp. 719-737
Persistent link: https://www.econbiz.de/10001184823
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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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Averaging and deferred payment yield agreements
Ritchken, Peter H. - In: The journal of futures markets 13 (1993) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10001136843
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On arbitrage-free pricing of interest rate contingent claims
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 259-264
Persistent link: https://www.econbiz.de/10001084192