Bond Pricing and Two Unconditionally Implied Parameters Inferred from Option Prices

Applied Financial Economics Letters, Vol. 3, No. 2, pp. 109-113, March 2005

Posted: 4 Sep 2007

See all articles by Nikolai Dokuchaev

Nikolai Dokuchaev

Zhejiang University/University of Illinois at Urbana-Champaign Institute

Abstract

This is the final version of the paper published on-line in September 23, 2004 at SSRN: http://ssrn.com/abstract=594869. The main addition is the example illustrating the choice of the stocks and the options to match the required risk neutral measure.

Keywords: Bond price, diffusion market models, Black-Scholes, stochastic volatility, implied volatility, implied forward risk-free rate

JEL Classification: G13, C53

Suggested Citation

Dokuchaev, Nikolai, Bond Pricing and Two Unconditionally Implied Parameters Inferred from Option Prices. Applied Financial Economics Letters, Vol. 3, No. 2, pp. 109-113, March 2005, Available at SSRN: https://ssrn.com/abstract=838304

Nikolai Dokuchaev (Contact Author)

Zhejiang University/University of Illinois at Urbana-Champaign Institute ( email )

Haining
Zhejiang
China