English, Article edition: Bond pricing and two unconditionally implied parameters inferred from option prices Nikolai Dokuchaev

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Bookmark: http://trove.nla.gov.au/version/50727
Physical Description
  • article
Language
  • English

Edition details

Title
  • Bond pricing and two unconditionally implied parameters inferred from option prices
Author
  • Nikolai Dokuchaev
Physical Description
  • article
Notes
  • 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.
  • RePEc:taf:apfelt:v:3:y:2007:i:2:p:109-113
Language
  • English
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