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The Two-State Interest Rate Model For Pricing Bonds: An Empirical Analysis

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  • Yatin N. Bhagwat
  • Michael C. Ehrhardt
  • David W. Johnson

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  • Yatin N. Bhagwat & Michael C. Ehrhardt & David W. Johnson, 1991. "The Two-State Interest Rate Model For Pricing Bonds: An Empirical Analysis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(2), pages 105-115, June.
    • Handle: RePEc:bla:jfnres:v:14:y:1991:i:2:p:105-115
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1991.tb00649.x
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    References listed on IDEAS

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    1. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. Titman, Sheridan D & Torous, Walter N, 1989. " Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt," Journal of Finance, American Finance Association, vol. 44(2), pages 345-373, June.
    4. Rendleman, Richard J. & Bartter, Brit J., 1980. "The Pricing of Options on Debt Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 11-24, March.
    5. Brown, Stephen J & Dybvig, Philip H, 1986. "The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 41(3), pages 617-630, July.
    6. Schwartz, Eduardo S., 1977. "The valuation of warrants: Implementing a new approach," Journal of Financial Economics, Elsevier, vol. 4(1), pages 79-93, January.
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