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Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment
Published online by Cambridge University Press: 06 April 2009
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).
- Type
- Research Article
- Information
- Journal of Financial and Quantitative Analysis , Volume 26 , Issue 3 , September 1991 , pp. 433 - 434
- Copyright
- Copyright © School of Business Administration, University of Washington 1991
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