THE PRICING OF COMMODITY-LINKED BONDS

被引：25

作者：

SCHWARTZ, ES

机构：

来源：

关键词：

D O I：

10.2307/2327359

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：525 / 539

页数：15

共 13 条

[1] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[2]

BLACK F, 1972, J FINANCE, V17, P399

[3]

BRENNAN MJ, 1980, J FINANCIAL QUANTITA, V25, P907

[4] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].

COX, JC ;

ROSS, SA .

[5]

COX JC, 1978, 468 STANF U RES PAP

[6]

LESSARD D, 1977, UNPUB RISK EFFICIENT

[7]

LESSARD D, 1977, UNPUB COMMODITY LINK

[8]

LESSARD D, 1979, UNPUB RISK EFFICIENT

[9]

MCKEAN HP, 1969, STOCHASTIC INTEGRAL

[10] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183