The pricing of bonds and bond options with default risk is analyzed in the general equilibrium model of Cox, Ingersoll, and Ross (Cir, 1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a...

The pricing of bonds and bond options with default risk is analyzed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter,...

On January 29th, 1997, an historical date for the U.S. Treasury, the first inflation-indexed Treasury notes, for a nominal value of 7 billion of dollars, have been auctioned. These securities are also called Tips (Treasury inflation-protected securities). Subsequently, the Chicago Board of Trade...

In this paper we analyze the problem of determining standby underwriting fees within the framework of option-pricing theory. Financial institutions that provide standby underwriting for a stock placement bear the risk of having to buy unplaced stocks if the offered quantity is not completely...