| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2529 |
| 来源ID | Working Paper 2529 |
| On the Determinants of the Value of Call Options on Default-Free Bonds | |
| Stephen A. Buser; Patric H. Hendershott; Anthony B. Sanders | |
| 发表日期 | 1988-03-01 |
| 出版年 | 1988 |
| 语种 | 英语 |
| 摘要 | Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2529 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559786 |
| 推荐引用方式 GB/T 7714 | Stephen A. Buser,Patric H. Hendershott,Anthony B. Sanders. On the Determinants of the Value of Call Options on Default-Free Bonds. 1988. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2529.pdf（622KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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