𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A note on the valuation of risky corporate bonds

✍ Scribed by Rainer Schöbel


Publisher
Springer
Year
1999
Tongue
German
Weight
138 KB
Volume
21
Category
Article
ISSN
0171-6468

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


A Note on Finding the Optimal Allocation
✍ John E. Angus 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB

## Abstract The allocation of financial assets among securities with different levels of risk is an essential topic in the study, analysis, and strategic use of derivative securities and markets. In a recent paper, Browne (1999) determined the optimal allocation strategy for dividing investments be

A note on the valuation of compound opti
✍ Fatma Lajeri-Chaherli 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 107 KB 👁 2 views

## Abstract The value of a compound option, __an option on an option__, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerfu

A note on the valuation of an exotic tim
✍ Bellalah, Mondher; Prigent, Jean-Luc 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 128 KB 👁 2 views

This note compares the valuation of a "lookback" put option with that of an option which, at payoff, gives its holder the difference between the maximum value recorded during the option's life and an initial value based on underlying asset price at the time of initiation. This latter instrument is c