Forward-neutral valuation relationships for options on zero coupon bonds

DOI10.1080/14697688.2010.507212zbMath1279.91153OpenAlexW2153778339MaRDI QIDQ2873549

Antonio Camara, Ana Câmara

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.507212

zbMATH Keywords

derivatives pricingpricing kernelrisk-neutral distributionsfixed income derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Two-dimensional risk-neutral valuation relationships for the pricing of options
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Volatility skews and extensions of the Libor market model
• Changes of numéraire, changes of probability measure and option pricing
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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