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On arbitrage-free pricing of interest rate contingent claims

Article Abstract:

Unlike most interest rate claim models, the Ho-Lee model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interest rates can occur. This article modifies the model such that interest rates are well behaved. (Reprinted by permission of the publisher.)

Author: Ritchken, Peter, Boenawan, Kiekie

Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1990

Prices and rates, Arbitrage, Interest rate futures

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An exact bond option formula

Article Abstract:

This paper derives a closed-form solution for European options on pure discount bonds, assuming a mean-reverting Gaussian interest rate model in Vasicek. The formula is extended to European options on discount bond portfolios. (Reprinted by permission of the publisher.)

Author: Jamshidian, Farshid

Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1989

Portfolio management

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Subjects list: Research, Options (Finance), Bonds, Bonds (Securities)

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