The Direct Approach to Debt Option Pricing

Rady, Sven (1994): The Direct Approach to Debt Option Pricing. In: Review of Futures Markets, Bd. 13, Nr. 2: S. 461-515

Abstract

We review the continuous{time literature on the so{called direct approach to bond option pricing. Going back to Ball and Torous (1983), this approach models bond price processes directly (i.e. without reference to interest rates or state variable processes) and applies methods that Black and Scholes (1973) and Merton (1973) had originally developed for stock options. We describe the principal modelling problems of the direct approach and compare in detail the solutions proposed in the literature

• Dokumententyp: Zeitschriftenartikel
• Keywords: Arbitrage, Debt Options, Option Pricing
• Fakultät: Volkswirtschaft > Lehrstühle > Seminar für Dynamische Modellierung (aufgelöst) ; Volkswirtschaft
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft