Template-Type: ReDIF-Paper 1.0
Title: The Direct Approach to Debt Option Pricing
Author-Name: K. Sandmann
Author-Name: Sandmann, K.
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)
Keywords: Arbitrage, Debt Options, Option Pricing
Classification-JEL: G13
Creation-Date: 1995-03
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb212.ps
File-Format: Application/PostScript
File-Size: 27
Handle: RePEc:bon:bonsfb:212