Year: 1991
Author: Zimmermann, Heinz
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 111 (1991), Iss. 4 : pp. 577–593
Abstract
The binomial option pricing approach of Cox / Ross / Rubinstein (1979) is applied to the pricing and hedging of interest rate contingent assets. An arbitrage based valuation formula is derived and applied to the pricing of coupon bonds, bond options and futures.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/schm.111.4.577
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 111 (1991), Iss. 4 : pp. 577–593
Published online: 1991-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Author Details
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Die Hedgingeffektivität von Aktienindexfutures
Literaturverzeichnis
Albrecht, Rainer
1995
https://doi.org/10.1007/978-3-322-92420-9_6 [Citations: 0]