{"id":"https://openalex.org/W2048378339","doi":"https://doi.org/10.1093/rfs/4.1.87","title":"A Simple Approach to Interest-Rate Option Pricing","display_name":"A Simple Approach to Interest-Rate Option Pricing","publication_year":1991,"publication_date":"1991-01-01","ids":{"openalex":"https://openalex.org/W2048378339","doi":"https://doi.org/10.1093/rfs/4.1.87","mag":"2048378339"},"language":"en","primary_location":{"id":"doi:10.1093/rfs/4.1.87","doi":"https://doi.org/10.1093/rfs/4.1.87","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/4.1.87","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Studies","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5063021298","display_name":"Stuart M. Turnbull","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I204722609","display_name":"Queen's University","ror":"https://ror.org/02y72wh86","country_code":"CA","type":"education","lineage":["https://openalex.org/I204722609"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Stuart M. Turnbull","raw_affiliation_strings":["Queen\u2019s University and Institute for Policy Analysis, Toronto, Ontario, Canada K7L 3N6"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Queen\u2019s University and Institute for Policy Analysis, Toronto, Ontario, Canada K7L 3N6","institution_ids":["https://openalex.org/I204722609"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5086338768","display_name":"Frank Milne","orcid":"https://orcid.org/0000-0002-6975-4818","observed_orcids":["https://orcid.org/0000-0002-6975-4818"]},"institutions":[{"id":"https://openalex.org/I118347636","display_name":"Australian National University","ror":"https://ror.org/019wvm592","country_code":"AU","type":"education","lineage":["https://openalex.org/I118347636"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Frank Milne","raw_affiliation_strings":["Australian National University, Australia","Australian National University,#N#                            Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Australian National University, Australia","institution_ids":["https://openalex.org/I118347636"]},{"raw_affiliation_string":"Australian National University,#N#                            Australia","institution_ids":["https://openalex.org/I118347636"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":4028,"currency":"USD","value_usd":4028},"apc_paid":null,"fwci":14.1773,"has_fulltext":false,"cited_by_count":89,"citation_normalized_percentile":{"value":0.98676845,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"4","issue":"1","first_page":"87","last_page":"120"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/contingent-claims-valuation","display_name":"contingent claims valuation","score":0.9760000109672546},{"id":"https://openalex.org/keywords/term-structure-of-interest-rates","display_name":"term structure of interest rates","score":0.8709999918937683},{"id":"https://openalex.org/keywords/analytical-solution","display_name":"analytical solution","score":0.8960000276565552},{"id":"https://openalex.org/keywords/european-options","display_name":"European options","score":0.8790000081062317},{"id":"https://openalex.org/keywords/interest-rate-futures","display_name":"interest rate futures","score":0.6859999895095825},{"id":"https://openalex.org/keywords/interest-rate-caps","display_name":"interest rate caps","score":0.9089999794960022},{"id":"https://openalex.org/keywords/treasury-bonds","display_name":"Treasury bonds","score":0.7239999771118164},{"id":"https://openalex.org/keywords/treasury-bills","display_name":"treasury bills","score":0.8050000071525574},{"id":"https://openalex.org/keywords/stock-options","display_name":"stock options","score":0.6430000066757202},{"id":"https://openalex.org/keywords/equity-futures","display_name":"equity futures","score":0.699999988079071},{"id":"https://openalex.org/keywords/foreign-exchange-contracts","display_name":"foreign exchange contracts","score":0.8709999918937683}],"concepts":[{"id":"https://openalex.org/C2781321516","wikidata":"https://www.wikidata.org/wiki/Q310836","display_name":"Queen (butterfly)","level":3,"score":0.6410881876945496},{"id":"https://openalex.org/C2780586882","wikidata":"https://www.wikidata.org/wiki/Q7520643","display_name":"Simple (philosophy)","level":2,"score":0.5854819416999817},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.4826367497444153},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3858751356601715},{"id":"https://openalex.org/C161191863","wikidata":"https://www.wikidata.org/wiki/Q199655","display_name":"Library science","level":1,"score":0.3595556318759918},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2226775586605072},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.18163999915122986},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.11804816126823425},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.08374035358428955},{"id":"https://openalex.org/C2780653484","wikidata":"https://www.wikidata.org/wiki/Q22651","display_name":"Hymenoptera","level":2,"score":0.0},{"id":"https://openalex.org/C59822182","wikidata":"https://www.wikidata.org/wiki/Q441","display_name":"Botany","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1093/rfs/4.1.87","doi":"https://doi.org/10.1093/rfs/4.1.87","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/4.1.87","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Studies","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1482985762","https://openalex.org/W1503295912","https://openalex.org/W1906327481","https://openalex.org/W1981157151","https://openalex.org/W1984631714","https://openalex.org/W1988697445","https://openalex.org/W1990664633","https://openalex.org/W2016118494","https://openalex.org/W2035693784","https://openalex.org/W2042877521","https://openalex.org/W2048378339","https://openalex.org/W2050067494","https://openalex.org/W2069495268","https://openalex.org/W2078939843","https://openalex.org/W2082559560","https://openalex.org/W2089215424","https://openalex.org/W2119299497","https://openalex.org/W2124983711","https://openalex.org/W2129605852","https://openalex.org/W2142571861","https://openalex.org/W2146612430","https://openalex.org/W2170444200","https://openalex.org/W2584798035","https://openalex.org/W2796337403","https://openalex.org/W3023688799","https://openalex.org/W4236461641","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W3121484525","https://openalex.org/W2118967918","https://openalex.org/W3124666067","https://openalex.org/W2020894390","https://openalex.org/W1987722608","https://openalex.org/W3122587820","https://openalex.org/W1849705308","https://openalex.org/W3123381906","https://openalex.org/W2034268140","https://openalex.org/W3123918904"],"abstract_inverted_index":{"A":[0],"simple":[1],"introduction":[2],"to":[3],"contingent":[4],"claim":[5],"valuation":[6],"of":[7,23],"risky":[8],"assets":[9],"in":[10],"a":[11],"discrete":[12],"time,":[13],"stochastic":[14],"interest-rate":[15,41,45,52],"economy":[16],"is":[17],"provided.":[18],"Taking":[19],"the":[20],"term":[21],"structure":[22],"interest":[24],"rates":[25],"as":[26],"exogenous,":[27],"closed-form":[28],"solutions":[29],"are":[30],"derived":[31],"for":[32],"European":[33],"options":[34],"written":[35],"on":[36],"(i)":[37],"Treasury":[38,49],"bills,":[39],"(ii)":[40],"forward":[42,59],"contracts,":[43,47,60,64],"(iii)":[44],"futures":[46,63],"(iv)":[48],"bonds,":[50],"(v)":[51],"caps,":[53],"(vi)":[54],"stock":[55],"options,":[56],"(vii)":[57],"equity":[58,62],"(viii)":[61],"(ix)":[65],"Eurodollar":[66],"liabilities,":[67],"and":[68],"(x)":[69],"foreign":[70],"exchange":[71],"contracts.":[72]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2014,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2016-06-24T00:00:00"}
