Rindell, Krister - In: Finnish Economic Papers 6 (1993) 2, pp. 123-130
This paper examines the pelformance of the Black & Scholes (1973) model for pricing of European style stock options in a stochastic interest rate economy. Throughout the paper we assume that Jarrow"s (1988) version of the Merton (1973) model correctly describes the reality. We examine the...