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^*

^*此作品的通信作者

Rutgers - The State University of New Jersey, New Brunswick

研究成果: 期刊稿件 › 文章 › 同行評審

3 引文斯高帕斯（Scopus）

摘要

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).

原文	英語
頁（從 - 到）	433-434
頁數	2
期刊	Journal of Financial and Quantitative Analysis
卷	26
發行號	3
DOIs	https://doi.org/10.2307/2331217
出版狀態	已出版 - 09 1991
對外發佈	是

存取文件

10.2307/2331217

其它文件與鏈接

Link to publication in Scopus

引用此

@article{f963330cff5146e48e143acd2598ad70,

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",

month = sep,

doi = "10.2307/2331217",

language = "英语",

volume = "26",

pages = "433--434",

journal = "Journal of Financial and Quantitative Analysis",

issn = "0022-1090",

publisher = "Cambridge University Press",

number = "3",

}

TY - JOUR

T1 - Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic

T2 - A Comment

AU - Chen, Ren Raw

PY - 1991/9

Y1 - 1991/9

N2 - 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).

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).

UR - https://www.scopus.com/pages/publications/1842816711

U2 - 10.2307/2331217

DO - 10.2307/2331217

M3 - 文章

AN - SCOPUS:1842816711

SN - 0022-1090

VL - 26

SP - 433

EP - 434

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

IS - 3

ER -

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

摘要

存取文件

其它文件與鏈接

指紋

引用此