A variational approach for pricing options and corporate bounds

DOI10.1007/BF01213856zbMath0883.90012OpenAlexW1990265435MaRDI QIDQ1367716

Jean-Paul Décamps, Jean-Charles Rochet

Publication date: 1 October 1997

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01213856

zbMATH Keywords

sensitivity analysiscorporate bondsoptions on coupon bonds

Mathematics Subject Classification ID

Related Items (1)

Efficiency of institutional spending and investment rules

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• A Theory of the Term Structure of Interest Rates
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Option pricing: A simplified approach
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