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Binomial Pricing of Interest Contingent Assets

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Zimmermann, H. Binomial Pricing of Interest Contingent Assets. Journal of Contextual Economics – Schmollers Jahrbuch, 111(4), 577-593. https://doi.org/10.3790/schm.111.4.577
Zimmermann, Heinz "Binomial Pricing of Interest Contingent Assets" Journal of Contextual Economics – Schmollers Jahrbuch 111.4, 1991, 577-593. https://doi.org/10.3790/schm.111.4.577
Zimmermann, Heinz (1991): Binomial Pricing of Interest Contingent Assets, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 111, iss. 4, 577-593, [online] https://doi.org/10.3790/schm.111.4.577

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Binomial Pricing of Interest Contingent Assets

Zimmermann, Heinz

Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 111 (1991), Iss. 4 : pp. 577–593

1 Citations (CrossRef)

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Article Details

Zimmermann, Heinz

Cited By

  1. 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.