English, Article, Journal or magazine article edition: The Direct Approach to Debt Option Pricing K. Sandmann; Sandmann, K.

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Bookmark: http://trove.nla.gov.au/version/52120
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Direct Approach to Debt Option Pricing
Author
  • K. Sandmann
  • Sandmann, K.
Physical Description
  • preprint
Notes
  • 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. (Completely revised version march 1995)
  • Arbitrage, Debt Options, Option Pricing
  • RePEc:bon:bonsfb:212
Language
  • English
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