Bond and Option Pricing when Short Rates are Lognormal

1991/07/01 by Fischer Black, Piotr Karasinski · 2 citations

paper · doi:10.2469/faj.v47.n4.52

crossref issued 1991/07/01 · crossref published 1991/07/01 · crossref published-print 1991/07/01 · crossref created 2006/02/27 · crossref published-online 2018/12/31 · crossref deposited 2018/12/31 · crossref indexed 2026/07/30

Cited by

• Estimating dynamic transmission rates with a Black-Karasinski process in stochastic SIHR models using particle MCMC
• Semi-Analytical Pricing for General Default Intensity Models