CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS
One of the most attractive features of the recent work on option pricing, ably summarized by Cox and Ross As Black and Scholes
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Call Option Pricing When the Exercise Price is Uncertain, and the Valuation of Index Bonds
One of the most attractive features of the recent work on option pricing, ably summarized by Cox and Ross [3] and Smith [8], is the applicability of the option pricing formula to the pricing of other assets.As Black and Scholes [1] point out, corporate stock in a firm which has also issued bonds, can be regarded as a call, with the exercise price being the payment made to the bondholders .