1 option
On the Determinants of the Value of Call Options on Default-Free Bonds / Stephen A. Buser, Patric H. Hendershott, Anthony B. Sanders.
- Format:
- Book
- Author/Creator:
- Buser, Stephen A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2529.
- NBER working paper series no. w2529
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1988.
- Summary:
- Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements.
- Notes:
- Print version record
- March 1988.
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