JOURNAL ARTICLE
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Binomial Pricing of Interest Contingent Assets
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 111 (1991), Iss. 4 : pp. 577–593
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Zimmermann, Heinz
Cited By
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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]
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.