Pricing Stock and Bond Options when the Default-Free Rate Is Stochastic: A Comment

Ren-Raw Chen

Journal of Financial and Quantitative Analysis, 1991, vol. 26, issue 3, 433-434

Abstract: This paper corrects the bond option formula presented by R. Rabinovitch ((1989), Equation (10)). With just one state variable driving the economy, the formula should be the same as the ones presented by Jamshidian (1989) and Chaplin (1987).

Date: 1991
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