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Vasicek, O. (1977) An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5, 177-188. https://doi.org/10.1016/0304-405X(77)90016-2

has been cited by the following article:

• TITLE: Call and Put Option Pricing with Discrete Linear Investment Strategy

  AUTHORS: Niloofar Ghorbani, Andrzej Korzeniowski

  KEYWORDS: Discrete Dynamic Investment Strategy, Stochastic Interest Rates, Vasicek Model, Hull-White Model, European Call Option, European Put Option

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.1, January 29, 2022

  ABSTRACT: We study the Option pricing with linear investment strategy based on discrete time trading of the underlying security, which unlike the existing continuous trading models, provides a feasible real market implementation. Closed form formulas for Call and Put Option price are established for fixed interest rates and their extensions to stochastic Vasicek and Hull-White interest rates.