Options in and on interest rate futures contracts: results from martingale pricing theory

DOI10.1080/13504869500000001zbMath1466.91330OpenAlexW1980674416MaRDI QIDQ4994395

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Publication date: 18 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869500000001

zbMATH Keywords

optionsfuturesterm structuremartingale pricingquality option

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Term structure of interest rates: The martingale approach
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• 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
• Pricing the Quality Option In Treasury Bond Futures¹
• An equilibrium characterization of the term structure

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