A Simple Approach to Interest-Rate Option Pricing.

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Turnbull, Stuart M; Milne, Frank;
(1991)
  • 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
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