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Pricing Stock and Bond Options when the Default-Free Rate is Stochastic

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  • Rabinovitch, Ramon
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 24 (1989)
    Issue (Month): 04 (December)
    Pages: 447-457

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    Handle: RePEc:cup:jfinqa:v:24:y:1989:i:04:p:447-457_01

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    Cited by:
    1. Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
    2. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
    3. Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Working Papers 04-34, Bank of Canada.
    4. Cocozza, Rosa & De Simone, Antonio, 2011. "One numerical procedure for two risk factors modeling," MPRA Paper 30859, University Library of Munich, Germany.
    5. Jin-Chuan, Duan & Moreau, Arthur F. & Sealey, C. W., 1995. "Deposit insurance and bank interest rate risk: Pricing and regulatory implications," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1091-1108, September.
    6. Sinha, Pankaj & Sharma, Sakshi & Sondhi, Kriti, 2013. "Market Valuation and Risk Assessment of Indian Banks using Black -Scholes -Merton Model," MPRA Paper 47442, University Library of Munich, Germany.
    7. Nawalkha, Sanjay K., 1996. "A contingent claims analysis of the interest rate risk characteristics of corporate liabilities," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 227-245, March.
    8. Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.
    9. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
    10. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
    11. Jiang, G.J. & Sluis, P.J. van der, 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.
    12. Griselda Deelstra & Jacques Janssen, 1998. "Interaction between asset liability management and risk theory," ULB Institutional Repository 2013/7586, ULB -- Universite Libre de Bruxelles.
    13. Kim, In Joon & Park, Gun Youb & Hyun, Jung-Soon, 2007. "What is the correct meaning of implied volatility?," Finance Research Letters, Elsevier, vol. 4(3), pages 179-185, September.
    14. Ken Hung & Chang-Wen Duan & Chin W. Yang, 2006. "Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 405-424, November.

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