Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment

Ren Raw Chen

doi:10.2307/2331217

Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment

Ren Raw Chen^*

^*Corresponding author for this work

Rutgers - The State University of New Jersey, New Brunswick

Research output: Contribution to journal › Journal Article › peer-review

2 Scopus citations

Abstract

This paper corrects the bond option formula presented by R. Rabinovitch ((1989), Equation (10)). With just one state variable driving the economy, the formula should be the same as the ones presented by Jamshidian (1989) and Chaplin (1987).

Original language	English
Pages (from-to)	433-434
Number of pages	2
Journal	Journal of Financial and Quantitative Analysis
Volume	26
Issue number	3
DOIs	https://doi.org/10.2307/2331217
State	Published - 09 1991
Externally published	Yes

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title = "Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment",

abstract = "This paper corrects the bond option formula presented by R. Rabinovitch ((1989), Equation (10)). With just one state variable driving the economy, the formula should be the same as the ones presented by Jamshidian (1989) and Chaplin (1987).",

author = "Chen, \{Ren Raw\}",

year = "1991",

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language = "英语",

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T2 - A Comment

AU - Chen, Ren Raw

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AB - This paper corrects the bond option formula presented by R. Rabinovitch ((1989), Equation (10)). With just one state variable driving the economy, the formula should be the same as the ones presented by Jamshidian (1989) and Chaplin (1987).

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DO - 10.2307/2331217

M3 - 文章

AN - SCOPUS:1842816711

SN - 0022-1090

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SP - 433

EP - 434

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

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ER -

Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment

Abstract

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