Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (25)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Turnbull, S. M.
Right arrow Articles by Milne, F.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1991; 4:87-120
© 1991 the Society for Financial Studies

Article

A simple approach to interest-rate option pricing

SM Turnbull1 and F Milne2
1 Queen's University and Institute for Policy Analysis, Toronto, Ontario, Canada K7L 3N6
2 Australian National University, Australia

Abstract

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 (i) Treasury bills, (ii) interest-rate forward contracts, (iii) interest-rate futures contracts, (iv) Treasury bonds, (v) interest-rate caps, (vi) stock options, (vii) equity forward contracts, (viii) equity futures contracts, (ix) Eurodollar liabilities, and (x) foreign exchange contracts.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
F. Chabi-Yo, R. Garcia, and E. Renault
State Dependence Can Explain the Risk Aversion Puzzle
Rev. Financ. Stud., April 1, 2008; 21(2): 973 - 1011.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.