Interest Rate Uncertainty and the Value of Bond Call Protection
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- Bodie, Zvi & Friedman, Benjamin M, 1978. "Interest Rate Uncertainty and the Value of Bond Call Protection," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 19-43, February.
References listed on IDEAS
- F. A. Lutz, 1940. "The Structure of Interest Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 55(1), pages 36-63.
- Ofer, Aharon R & Taggart, Robert A, Jr, 1977. "Bond Refunding: A Clarifying Analysis," Journal of Finance, American Finance Association, vol. 32(1), pages 21-30, March.
- Elton, Edwin J & Gruber, Martin J, 1972. "The Economic Value of the Call Option," Journal of Finance, American Finance Association, vol. 27(4), pages 891-901, September.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance,
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- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
- Frank C. Jen & James E. Wert, 1967. "The Effect Of Call Risk On Corporate Bond Yields," Journal of Finance, American Finance Association, vol. 22(4), pages 637-651, December.
- Kraus, Alan, 1973. "The Bond Refunding Decision in an Efficient Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(05), pages 793-806, December.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Fair, Ray C & Malkiel, Burton G, 1971. "The Determination of Yield Differentials between Debt Instruments of the Same Maturity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 3(4), pages 733-749, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Benjamin M. Friedman, 1981. "The Roles of Money and Credit in Macroeconomic Analysis," NBER Working Papers 0831, National Bureau of Economic Research, Inc.
- Benjamin M. Friedman, 1981. "Financing Capital Formation in the 1980s: Issues for Public Policy," NBER Working Papers 0745, National Bureau of Economic Research, Inc.
- Zvi Bodie & Benjamin M. Friedman, 1977. "Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options," NBER Working Papers 0218, National Bureau of Economic Research, Inc.
- Stephen A. Buser & Patric H. Hendershott, 1984. "The Pricing of Default-Free Mortgages," NBER Working Papers 1408, National Bureau of Economic Research, Inc.
- Benjamin M. Friedman, 1978. "Who Puts the Inflation Premium Into Nominal Interests Rates?," NBER Working Papers 0231, National Bureau of Economic Research, Inc.
- Clifford F. Thies, 1985. "New Estimates Of The Term Structure Of Interest Rates: 1920–1939," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 297-306, December.
- Benjamin M. Friedman, 1982. "Federal Reserve Policy, Interest Rate Volatility, and the U.S. Capital Raising Mechanism," NBER Working Papers 0917, National Bureau of Economic Research, Inc.
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