Elsevier < Decision Sciences Publications < Handbooks in Operations Research and Management Science < Volume 9: Finance < Chapter 8

FINANCE
Edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba

CHAPTER 8
Pricing Interest Rate Options
R. Jarrow

1. Introduction*  

2. The model: terminology and notation

3. Zero curve arbitrage

4. Option pricing

5. Empirical specifications

6. Conclusions

References

* The first two pages of the chapters are available as PDF file.

 Complete chapters on ScienceDirect

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