THE VALUATION OF FLOATING-RATE INSTRUMENTS - THEORY AND EVIDENCE

被引:43
作者
RAMASWAMY, K [1 ]
SUNDARESAN, SM [1 ]
机构
[1] COLUMBIA UNIV,NEW YORK,NY 10027
关键词
D O I
10.1016/0304-405X(86)90066-8
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:251 / 272
页数:22
相关论文
共 15 条
[1]   VALUING CORPORATE SECURITIES - SOME EFFECTS OF BOND INDENTURE PROVISIONS [J].
BLACK, F ;
COX, JC .
JOURNAL OF FINANCE, 1976, 31 (02) :351-367
[2]  
BRENNAN MJ, 1980, MONOGRAPH SERIES FIN
[3]   FLOATING RATE NOTES AND IMMUNIZATION [J].
CHANCE, DM .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1983, 18 (03) :365-380
[4]   DURATION AND THE MEASUREMENT OF BASIS RISK [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
JOURNAL OF BUSINESS, 1979, 52 (01) :51-61
[5]  
COX JC, 1981, J FINANC, V36, P769
[6]   OPTION PRICING - SIMPLIFIED APPROACH [J].
COX, JC ;
ROSS, SA ;
RUBINSTEIN, M .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263
[7]   AN ANALYSIS OF VARIABLE-RATE LOAN CONTRACTS [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
JOURNAL OF FINANCE, 1980, 35 (02) :389-403
[8]   A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
ECONOMETRICA, 1985, 53 (02) :385-407
[9]   TERM PREMIUMS AND DEFAULT PREMIUMS IN MONEY MARKETS [J].
FAMA, EF .
JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (01) :175-196
[10]  
HANNA J, 1985, FLOATING RATE FINANC