ON THE FEASIBILITY OF ARBITRAGE-BASED OPTION PRICING WHEN STOCHASTIC BOND PRICE PROCESSES ARE INVOLVED

被引：14

作者：

CHENG, ST

机构：

[1] Graduate School of Business, Columbia University, New York

来源：

JOURNAL OF ECONOMIC THEORY | 1991年 / 53卷 / 01期

关键词：

D O I：

10.1016/0022-0531(91)90148-W

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

There are many options which are based on interest rate sensitive assets. For example, debt options and currency options are best priced when a stochastic bond price process is included. However, not all stochastic bond price processes are feasible for use in pricing options by standard arbitrage techniques. This work draws on the results of Harrison and Kreps (J. Econ. Theory 20 (1979), 381-408) and relates them to pricing in the presence of stochastic bond price processes. Examples of feasible and infeasible bond price processes are given. © 1991.

引用

页码：185 / 198

页数：14

共 17 条

[1]

[Anonymous], 1984, WADSWORTH ADV BOOKS

[2]

ARTZNER P, 1985, UNPUB TERM STRUCTURE

[3] BOND PRICE DYNAMICS AND OPTIONS [J].