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
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: Suggested Citation
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