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The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements

Research output: Journal contributions › Journal articles › Research › peer-review

Standard

The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements. / Briys, Eric; Crouhy, Michael; Schoebel, Rainer.
In: Journal of Finance, Vol. 46, No. 5, 01.12.1991, p. 1879-1892.

Research output: Journal contributions › Journal articles › Research › peer-review

Harvard

Briys, E, Crouhy, M & Schoebel, R 1991, 'The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements', Journal of Finance, vol. 46, no. 5, pp. 1879-1892. https://doi.org/10.1111/j.1540-6261.1991.tb04647.x

APA

Briys, E., Crouhy, M., & Schoebel, R. (1991). The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements. Journal of Finance, 46(5), 1879-1892. https://doi.org/10.1111/j.1540-6261.1991.tb04647.x

Vancouver

Briys E, Crouhy M, Schoebel R. The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements. Journal of Finance. 1991 Dec 1;46(5):1879-1892. doi: 10.1111/j.1540-6261.1991.tb04647.x

Bibtex

@article{76cd7bb04d9f41a7acddff6f17a214b4,
title = "The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements",
abstract = "The paper focuses on the valuation of caps, floors, and collars in a contingent claim framework under continuous time. These instruments are interpreted as options on traded zero coupon bonds. The bond prices themselves are used as the underlying stochastic variables. This has the advantage that we end up with closed form solutions which are easy to compute. Special attention is devoted to the choice of the stochastic process appropriate for the price dynamics of the underlying zero coupon bonds. 1991 The American Finance Association",
keywords = "Management studies",
author = "Eric Briys and Michael Crouhy and Rainer Schoebel",
year = "1991",
month = dec,
day = "1",
doi = "10.1111/j.1540-6261.1991.tb04647.x",
language = "English",
volume = "46",
pages = "1879--1892",
journal = "Journal of Finance",
issn = "0022-1082",
publisher = "Wiley-Blackwell Publishing Ltd.",
number = "5",

}

RIS

TY - JOUR

T1 - The Pricing of Default-free Interest Rate Cap, Floor, and Collar Agreements

AU - Briys, Eric

AU - Crouhy, Michael

AU - Schoebel, Rainer

PY - 1991/12/1

Y1 - 1991/12/1

N2 - The paper focuses on the valuation of caps, floors, and collars in a contingent claim framework under continuous time. These instruments are interpreted as options on traded zero coupon bonds. The bond prices themselves are used as the underlying stochastic variables. This has the advantage that we end up with closed form solutions which are easy to compute. Special attention is devoted to the choice of the stochastic process appropriate for the price dynamics of the underlying zero coupon bonds. 1991 The American Finance Association

AB - The paper focuses on the valuation of caps, floors, and collars in a contingent claim framework under continuous time. These instruments are interpreted as options on traded zero coupon bonds. The bond prices themselves are used as the underlying stochastic variables. This has the advantage that we end up with closed form solutions which are easy to compute. Special attention is devoted to the choice of the stochastic process appropriate for the price dynamics of the underlying zero coupon bonds. 1991 The American Finance Association

KW - Management studies

UR - http://www.scopus.com/inward/record.url?scp=84977710840&partnerID=8YFLogxK

U2 - 10.1111/j.1540-6261.1991.tb04647.x

DO - 10.1111/j.1540-6261.1991.tb04647.x

M3 - Journal articles

VL - 46

SP - 1879

EP - 1892

JO - Journal of Finance

JF - Journal of Finance

SN - 0022-1082

IS - 5

ER -

DOI

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