Evaluation of the GIC rollover option

DOI10.1016/0167-6687(94)90095-7zbMath0809.90029OpenAlexW2091153729MaRDI QIDQ1333588

Elias S. W. Shiu, Hal W. Pedersen

Publication date: 28 March 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)90095-7

zbMATH Keywords

martingalesterm structure of interest ratesoption pricingBlack- Scholes formulaforward-risk-adjusted measurerisk neutral valuation

Mathematics Subject Classification ID

Related Items

Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ Pricing rate of return guarantees in a Heath-Jarrow-Morton framework ⋮ State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Term structure of interest rates: The martingale approach
• Martingales and arbitrage in multiperiod securities markets
• Point processes and queues. Martingale dynamics
• Martingales and stochastic integrals in the theory of continuous trading
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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