On the valuation of an option to exchange one interest rate for another

Journal of Banking and Finance

Volumn 20, Issue 4, 1996, Pages 645-653

  Fu, Qiang ^a  

^a Republic National Bank of New York   (Hong Kong)

Author keywords

Multifactor models; Spread options; Valuation

Indexed keywords

EID: 0030139570     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-4266(95)00018-6     Document Type: Article

References (10)

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3. Flesaker, B., 1991, Estimating and testing of the constant volatility Heath, Jarrow, Morton model of interest rate contingent claims pricing, Unpublished manuscript, University of Illinois at Urbana-Champain.
4. Heath, D., R. Jarrow and A. Morton, 1990, Contingent claim valuation with a random evolution of interest rates, The Review of Futures Market, 54-83.
5. Heath, D., R. Jarrow and A. Morton, 1992, Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, Econometrica 60, 77-105.
6. Ho, T. and S. Lee, 1986, Term structure movements and pricing interest rate contingent claims, Journal of Finance 41, 1011-1028.
7. Kahn, R., 1991, Fixed income risk modelling, in: The handbook of fixed income securities, 3rd Ed. (Dow Jones).
8. Longstaff, F., 1990, The valuation of options on yields, Journal of Financial Economics 26, 97-122.
9. Margrabe, W., 1978, The value of an option to exchange one asset for another, Journal of Finance 33, 177-186.
10. Viswanathan, R., 1991, Interest rate models, Unpublished manuscript, Mitsuibishi Finance, London.