Bond pricing and two unconditionally implied parameters inferred from option prices

Nikolai Dokuchaev

Applied Financial Economics Letters, 2007, vol. 3, issue 2, 109-113

Abstract: We study stock option and bond pricing problems for a case when the short-term interest rate and the volatility of the stock are random processes. The option prices are generated by a risk-neutral valuation method and they are correlated with the short-term interest rate generating the bond price. We suggest, to use, for calculation of bond prices, the implied volatility and cumulative risk free interest rate inferred from stock and option prices. These parameters can be found unconditionally from a system of two equations.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17446540600981618 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:raflxx:v:3:y:2007:i:2:p:109-113

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rafl20

DOI: 10.1080/17446540600981618

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Anita Phillips

More articles in Applied Financial Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().