Formules fermées pour caps, floors et options asiatiques sur taux d'intérêt

 Access to full text

 Full (PDF)

1. BOUAZIZ L., BRIYS E., CROUHY M. (1991) The Pricing of Forward-starting Asian Options, Groupe HEC, cahier de recherche, oct. 1991. 
2. BRACE A. and MUSIELA M. (1994) " A multifactor Gauss Markov Implementation of Heath, Jarrow and Morton", Mathematical Finance vol.4, n° 3. Zbl0884.90016
3. BRIYS E., CROUHY M. and SCHÖBEL R. (1991) " The Pricing of Defaultfree Interest Rate, Cap, Floor and Collar Agreements", The Journal of Finance. 
4. Cox J., INGERSOLL J. and Ross S. (1985) " A Theory of the Term Structure of Interest Rates", Econometrica. Zbl1274.91447MR785475
5. DANA R.-A. et JEANBLANC-PICQUE M. (1994) Marchés financiers en Temps Continu, Valorisation et Equilibre, Economica, Paris. 
6. Ho T.S.Y. and LEE S.B. (december 1986) " Term Structure Movements and the Pricing of Interest Rate Contingent Claims", Journal of Finance. 
7. EL KAROUI N. and GEMAN H. (mars 1991) " A Stochastic Approach to the Pricing of FRNs", Risk. 
8. EL KAROUI N. and GEMAN H. (1991) " The Valuation of General Floating-Rate Notes and Swaps : A probabilistic Approach", Working paper, Université Paris IV et Essec. Publié dans Advances in Futures and Options Research, JAI Press Inc. 1993. 
9. EL KAROUI N. and ROCHET J.C. (1989) " A Pricing Formula for Options on Coupon-Bonds", Papier de Recherche, Université de Paris. 
10. GEMAN H. (1989) " The Importance of the Forward Neutral Probability in a Stochastic Approach of Interest Rates", Working Paper, Essec. 
11. GEMAN H. and EYDELAND A. (Avril 1995) " Domino Effect : Inverting the Laplace Transform", Risk. 
12. GEMAN H. and YOR M. (1993) " Asian Options, and Perpetuities", Mathematical Finance. Zbl0884.90029
13. HEATH D., JARROW R. and MORTON A. (1992) " Bond Pricing and the Term Structure of Interest Rates : a New Methodology for Contingent Claims Valuation", Economica n° 1, 60. Zbl0751.90009
14. HULL J. (1993) Options, Futures, and other Derivatives Securities, second edition, Prentice-Hall. 
15. HULL J. and WHITE A. (1993) " One-Factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities", Journal of Financial and Quantitative Analysis 28. 
16. JAMSHIDIAN F. (1989) " An Exact Bond Option Formula", Journal of Finance. 
17. KEMNA AG.Z. and VORST A.C.F. (1990) " A Pricing Method for Options Based on Average Asset Values", Journal of Banking and Finance, 14. 
18. LIN JIA (1994) Evaluation et couverture d'options sur moyenne et produits différentiels, Thèse, Université de Paris I. 
19. QUITTARD-PINON F. (1993) Marchés des capitaux et théorie financière, Economica, Paris. 

1. Jean-Claude Augros, Évaluation probabiliste des options : introduction à l'univers forward-neutre
2. Patrick Navatte, François Quittard-Pinon, Options digitales et titres couloirs sur taux d'intérêt