Journal of Financial and Quantitative Analysis Vol. 26 No. 3 1991
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).
- DOI
- 10.2307/2331217
- Volume
- 26
- Issue
- 3
- Pages
- 433
- Sources
- crossref openalex