Matches in SemOpenAlex for { <https://semopenalex.org/work/W2202912984> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W2202912984 abstract "We study a bond pricing problem for a case when the short term interest rate is a random process with unknown prior distribution and evolution law. We assume that there is a stock and options on this stock with observable prices; the stock volatility can be random. We assume that the option prices are generated by a risk-neutral valuation method and that they are correlated with the short term interest rate that generates the bond price. We suggest to price bonds via volatility and cumulative risk free interest rate inferred from stock and option prices. These parameters can be found unconditionally from a system of two equations. We found that the implied forward risk free rate inferred from system of put and call options does not depend of the option strike price, and, therefore, it can be effectively used for bond pricing." @default.
- W2202912984 created "2016-06-24" @default.
- W2202912984 creator A5031418059 @default.
- W2202912984 date "2004-01-01" @default.
- W2202912984 modified "2023-09-23" @default.
- W2202912984 title "Bond Pricing via Parameters Inferred from Options on a Stock" @default.
- W2202912984 cites W1525526370 @default.
- W2202912984 cites W1554088966 @default.
- W2202912984 cites W1941665892 @default.
- W2202912984 cites W1965635191 @default.
- W2202912984 cites W1966119267 @default.
- W2202912984 cites W1977600059 @default.
- W2202912984 cites W1983056091 @default.
- W2202912984 cites W1983607084 @default.
- W2202912984 cites W2007238879 @default.
- W2202912984 cites W2022610613 @default.
- W2202912984 cites W2052635514 @default.
- W2202912984 cites W2084228674 @default.
- W2202912984 cites W2088091526 @default.
- W2202912984 cites W2100458410 @default.
- W2202912984 cites W2100534547 @default.
- W2202912984 cites W2105832006 @default.
- W2202912984 cites W2111154541 @default.
- W2202912984 cites W2113000836 @default.
- W2202912984 cites W2115102690 @default.
- W2202912984 cites W2148080284 @default.
- W2202912984 cites W2338681524 @default.
- W2202912984 cites W3122787751 @default.
- W2202912984 cites W577519704 @default.
- W2202912984 cites W614633093 @default.
- W2202912984 doi "https://doi.org/10.2139/ssrn.594869" @default.
- W2202912984 hasPublicationYear "2004" @default.
- W2202912984 type Work @default.
- W2202912984 sameAs 2202912984 @default.
- W2202912984 citedByCount "0" @default.
- W2202912984 crossrefType "journal-article" @default.
- W2202912984 hasAuthorship W2202912984A5031418059 @default.
- W2202912984 hasConcept C10138342 @default.
- W2202912984 hasConcept C106159729 @default.
- W2202912984 hasConcept C108018779 @default.
- W2202912984 hasConcept C127413603 @default.
- W2202912984 hasConcept C149782125 @default.
- W2202912984 hasConcept C162324750 @default.
- W2202912984 hasConcept C175025494 @default.
- W2202912984 hasConcept C186027771 @default.
- W2202912984 hasConcept C194483076 @default.
- W2202912984 hasConcept C204036174 @default.
- W2202912984 hasConcept C24189920 @default.
- W2202912984 hasConcept C32959826 @default.
- W2202912984 hasConcept C556758197 @default.
- W2202912984 hasConcept C69738904 @default.
- W2202912984 hasConcept C78519656 @default.
- W2202912984 hasConcept C91602232 @default.
- W2202912984 hasConceptScore W2202912984C10138342 @default.
- W2202912984 hasConceptScore W2202912984C106159729 @default.
- W2202912984 hasConceptScore W2202912984C108018779 @default.
- W2202912984 hasConceptScore W2202912984C127413603 @default.
- W2202912984 hasConceptScore W2202912984C149782125 @default.
- W2202912984 hasConceptScore W2202912984C162324750 @default.
- W2202912984 hasConceptScore W2202912984C175025494 @default.
- W2202912984 hasConceptScore W2202912984C186027771 @default.
- W2202912984 hasConceptScore W2202912984C194483076 @default.
- W2202912984 hasConceptScore W2202912984C204036174 @default.
- W2202912984 hasConceptScore W2202912984C24189920 @default.
- W2202912984 hasConceptScore W2202912984C32959826 @default.
- W2202912984 hasConceptScore W2202912984C556758197 @default.
- W2202912984 hasConceptScore W2202912984C69738904 @default.
- W2202912984 hasConceptScore W2202912984C78519656 @default.
- W2202912984 hasConceptScore W2202912984C91602232 @default.
- W2202912984 hasLocation W22029129841 @default.
- W2202912984 hasOpenAccess W2202912984 @default.
- W2202912984 hasPrimaryLocation W22029129841 @default.
- W2202912984 hasRelatedWork W143356104 @default.
- W2202912984 hasRelatedWork W1574911156 @default.
- W2202912984 hasRelatedWork W1813641385 @default.
- W2202912984 hasRelatedWork W2062909692 @default.
- W2202912984 hasRelatedWork W2112775541 @default.
- W2202912984 hasRelatedWork W2122645880 @default.
- W2202912984 hasRelatedWork W2517686889 @default.
- W2202912984 hasRelatedWork W3121922271 @default.
- W2202912984 hasRelatedWork W3122533497 @default.
- W2202912984 hasRelatedWork W3125927715 @default.
- W2202912984 isParatext "false" @default.
- W2202912984 isRetracted "false" @default.
- W2202912984 magId "2202912984" @default.
- W2202912984 workType "article" @default.