A Simple Approach to Interest-Rate Option Pricing.
Turnbull, Stuart M; Milne, Frank;
Journal: Review of Financial Studies,volume 4,issue 1,pages87-120
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... View more