Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1

An introduction to probability theory and its applications

1958 • 31,109 citations

Handbook of Mathematical Functions

1972 • 15,955 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

An Introduction to Probability Theory.

1986 • 3,512 citations

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 • 3,196 citations

The pricing of commodity contracts

1976 • 2,931 citations

Pricing Interest-Rate-Derivative Securities

1990 • 2,189 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Distributions in Statistics: Continuous Multivariate Distributions.

1973 • 1,629 citations

Options, Futures, and Other Derivative Securities.

1990 • 1,297 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Efficient Analytic Approximation of American Option Values

1987 • 1,044 citations

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

1990 • 956 citations

Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

1992 • 905 citations

A continuous time approach to the pricing of bonds

1979 • 776 citations

The relation between forward prices and futures prices

1981 • 770 citations

An Exact Bond Option Formula

1989 • 652 citations

A Lattice Framework for Option Pricing with Two State Variables

1988 • 487 citations

Efficient Analytic Approximation of American Option Values

1987 • 377 citations

Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

1990 • 354 citations

Valuing Derivative Securities Using the Explicit Finite Difference Method

1990 • 340 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 320 citations

The Pricing of Options on Default-Free Bonds

1982 • 251 citations

Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

1992 • 244 citations

An Exact Bond Option Formula

1989 • 174 citations

A Simple Approach to Interest-Rate Option Pricing

1991 • 95 citations

Pricing and hedging capped options

1989 • 31 citations

Exact Solutions for Futures and European Futures Options on Pure Discount Bonds

1992 • 26 citations