The DOI matches its Crossref record; 14 of the 14 references it cites were found in a registry or an index.
Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates
Abstract
We derive a unified model that gives closed form solutions for caps and floors written on interest rates as well as puts and calls written on zero‐coupon bonds. The crucial assumption is that simple interest rates over a fixed finite period that matches the contract, which we want to price, are log‐normally distributed. Moreover, this assumption is shown to be consistent with the Heath‐Jarrow‐Morton model for a specific choice of volatility.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Theory of Rational Option Pricing
Merton, R. C. (2019) · World Scientific Reference on Contingent Claims Analysis in Corporate Finance · doi:10.1142/9789814759588_0002 · Cited by 7,948
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
Theory of rational option pricing
Merton, R. C. (2005) · Theory of Valuation · doi:10.1142/9789812701022_0008 · Cited by 7,161
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,593
Heath, D., Jarrow, R., & Morton, A. (1992) · Econometrica · doi:10.2307/2951677 · Cited by 3,077
Ingersoll, J. E., & Duffie, D. (1993) · The Journal of Finance · doi:10.2307/2329081 · Cited by 2,891
The pricing of commodity contracts
Black, F. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90024-6 · Cited by 2,848
Martingales and stochastic integrals in the theory of continuous trading
Harrison, J. M., & Pliska, S. R. (1981) · Stochastic Processes and their Applications · doi:10.1016/0304-4149(81)90026-0 · Cited by 2,835
Ross, S. A., & Merton, R. C. (1991) · The Journal of Finance · doi:10.2307/2328875 · Cited by 1,788
Cited by
Arbitrage Theory in Continuous Time
Björk, T. (2004) · doi:10.1093/0199271267.001.0001 · Cited by 940
LIBOR and swap market models and measures
Jamshidian, F. (1997) · Finance and Stochastics · doi:10.1007/s007800050026 · Cited by 746
Metadata
- Authors
- MILTERSEN, K. R., SANDMANN, K., & SONDERMANN, D.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1997-03
- Volume
- 52
- Issue
- 1
- Pages
- 409-430
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2127386934
- Cited by
- 561
- References
- 14
- FWCI
- 54.08
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates. https://app.cochat.ai/papers/10.1111/j.1540-6261.1997.tb03823.x
- The paper
- MILTERSEN, K. R., SANDMANN, K., & SONDERMANN, D. (1997). Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1997.tb03823.x
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
