On the Determinants of the Value of Call Options on Default-Free Bonds
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.
Year of publication: |
1988-03
|
---|---|
Authors: | Buser, Stephen A. ; Hendershott, Patric H. ; Sanders, Anthony B. |
Institutions: | National Bureau of Economic Research (NBER) |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages
Buser, Stephen A., (1984)
-
The Pricing of Default-Free Mortgages
Buser, Stephen A., (1985)
-
Risk and Return on Real Estate: Evidence from Equity REITs
Chan, K.C., (1990)
- More ...