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Real and Nominal Magnitudes in Economics

Journal of Financial and Quantitative Analysis 1980 15(4), 773
Kenneth J. Arrow, Real and Nominal Magnitudes in Economics, The Journal of Financial and Quantitative Analysis, Vol. 15, No. 4, Proceedings of 15th Annual Conference of the Western Finance Association, June 19-21, 1980, San Diego, California (Nov., 1980), pp. 773-783

The Pricing of Options on Debt Securities

Journal of Financial and Quantitative Analysis 1980 15(1), 11
In this paper we present a method for valuing American and European put and call options on debt securities. Although no exhange-traded options of this type currently exist in the United States, the Chicago Board Options Exchange plans to introduce option contracts on several government bonds, and the Chicago Board of Trade petitioned the Commodities Futures Trading Commission to allow the trading of options on the Ginny Mae futures contract. In addition to pricing put and call options, the model developed here can be applied to the valuation of other securities such as callable bonds and bank loan commitments.