Articlebronze1978

CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS

213 citations0/0 files storedThe Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

Abstract

One of the most attractive features of the recent work on option pricing, ably summarized by Cox and Ross [3] and Smith [8], is the applicability of the option pricing formula to the pricing of other assets.As Black and Scholes [1] point out, corporate stock in a firm which has also issued bonds, can be regarded as a call, with the exercise price being the payment made to the bondholders .

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1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION 1976INFLATION AND RATES OF RETURN ON COMMON STOCKS 1976Option pricing

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