The valuation of American options on bonds
Article Abstract:
A generalization of the Geske-Johnson method was utilized to assess American options on bonds. The method entails valuation of European and multiple exercise date options. For options with multiple exercise dates, the approach revealed the existence of a risk-neutral valuation relationship located on the lines of Black-Scholes model. Such relationship becomes evident when the asset price is lognormally distributed.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1997
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Fixed Rate Loan Commitments, Take-Down, Risk and the Dynamics of Hedging with Futures
Article Abstract:
A model is developed to analyze hedging and fee pricing decisions of fixed rate loan commitments. Consideration is given to loan take-down risk as well as price risk. An optimal hedge ratio is formulated so that loan commitments behave stochastically over time.
Publication Name: Journal of Financial and Quantitative Analysis
Subject: Business
ISSN: 0022-1090
Year: 1983
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An appreciation of Lawrence G. Goldberg
Article Abstract:
A tribute to Lawrence G. Goldberg, who expired recently, is presented. Goldberg was an Associate editor of Journal of Banking and Finance. A brief profile of Goldberg is also presented.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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