Pricing the Quality Option In Treasury Bond Futures1
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Publication:4345931
DOI10.1111/j.1467-9965.1992.tb00029.xzbMath0900.90096OpenAlexW1989831569MaRDI QIDQ4345931
L. Sankarasubramanian, Peter H. Ritchken
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1992.tb00029.x
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Related Items (6)
A survey of stochastic continuous time models of the term structure of interest rates ⋮ A hybrid method for pricing European options based on multiple assets with transaction costs ⋮ A spectral algorithm for pricing interest rate options ⋮ Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility ⋮ Pricing the Chicago Board of Trade T-Bond futures ⋮ Options in and on interest rate futures contracts: results from martingale pricing theory
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