publication . Article . 1991

A Simple Approach to Interest-Rate Option Pricing.

Turnbull, Stuart M; Milne, Frank;
Open Access
  • Published: 01 Jan 1991 Journal: Review of Financial Studies, volume 4, issue 1, pages 87-120
Abstract
A simple introduction to contingent claim valuation of risky assets in a discrete time, stochastic interest-rate economy is provided. Taking the term structure of interest rates as exogenous, closed-form solutions are derived for European options written on (1) Treasury bills, (2) interest-rate forward contracts, (3) interest-rate futures contracts, (4) Treasury bonds, (5) interest-rate caps, (6) stock options, (7) equity forward contracts, (8) equity futures contracts, (9) Eurodollar liabilities, and (10) foreign exchange contracts. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financia...
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