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- W62508624 abstract "We review the continuous--time literature on the so-- called direct approach to bond option pricing. Going back to Ball and Torous (1983), this approach models bond price processes directly (i.e. without reference to interest rates or state variable processes) and applies methods that Black and Scholes (1973) and Merton (1973) had originally developed for stock options. We describe the principal modelling problems of the direct approach and compare in detail the solutions proposed in the literature. (Completely revised version march 1995)" @default.
- W62508624 created "2016-06-24" @default.
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- W62508624 date "1995-03-01" @default.
- W62508624 modified "2023-09-27" @default.
- W62508624 title "The Direct Approach to Debt Option Pricing" @default.
- W62508624 hasPublicationYear "1995" @default.
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