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On the application of the Black and Scholes formula to valuing bonds with embedded options: the case of extendible bonds

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(77)90030-7openalex-snapshot

Savings bonds, retractable bonds and callable bonds

inferredcites →https://doi.org/10.1086/260062openalex-snapshot

The Pricing of Options and Corporate Liabilities

inferredcites →https://doi.org/10.1086/296586openalex-snapshot

Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle

inferredcites →https://doi.org/10.1093/rfs/3.4.573openalex-snapshot

Pricing Interest-Rate-Derivative Securities

inferredcites →https://doi.org/10.1111/j.1540-6261.1975.tb01852.xopenalex-snapshot

THE TAX‐ADJUSTED YIELD CURVE

inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02157.xopenalex-snapshot

Tests of the Black-Scholes and Cox Call Option Valuation Models

inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb03469.xopenalex-snapshot

Retractable and Extendible Bonds: The Canadian Experience

inferredcites →https://doi.org/10.1111/j.1540-6261.1985.tb04967.xopenalex-snapshot

Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978

inferredcites →https://doi.org/10.2307/1911242openalex-snapshot

A Theory of the Term Structure of Interest Rates

inferredcites →https://doi.org/10.2307/2328243openalex-snapshot

Modern Investment Theory.

inferredcites →https://doi.org/10.2307/2328826openalex-snapshot

Options, Futures, and Other Derivative Securities.

inferredcites →https://doi.org/10.2307/2330906openalex-snapshot

Further Results on the Constant Elasticity of Variance Call Option Pricing Model

inferredcites →https://doi.org/10.3905/jpm.1984.408975openalex-snapshot

Duration as a link between yield and value

inferredcites →https://doi.org/10.3905/jpm.1984.408981openalex-snapshot

Duration as a link between yield and value

inferredcites →https://doi.org/10.3905/jpm.1993.409444openalex-snapshot

Risk and Return in the Canadian Bond Market

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.285317openalex-extracted

A Valuation Model for Callable Foreign Bonds

inferred← citeshttps://doi.org/10.2139/ssrn.880841openalex-extracted

Puttable and Extendible Bonds: Developing Interest Rate Derivatives for Emerging Markets

inferred← citeshttps://doi.org/10.32657/10356/55239openalex-snapshot

Option-based quantification and generic optimization of debt refinancing in public-private partnership infrastructure projects

inferred← citeshttps://doi.org/10.4236/jmf.2019.93023openalex-snapshot

A Valuation Model for Callable Eurobonds

inferred← citeshttps://doi.org/10.5089/9781451874372.001openalex-snapshot

Puttable and Extendible Bonds

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