TY  - JOUR
AU  - Buser,Stephen A.
AU  - Hendershott,Patric H.
AU  - Sanders,Anthony B.
TI  - On the Determinants of the Value of Call Options on Default-Free Bonds
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2529
PY  - 1988
Y2  - March 1988
UR  - http://www.nber.org/papers/w2529
L1  - http://www.nber.org/papers/w2529.pdf
N1  - Author contact info:
Patric H. Hendershott
Fisher Hall
Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 218/963-1393
Fax: 218/963-9484
E-Mail: hendershott.2@osu.edu
AB  - Models of interest-dependent claims that imply similar term structures and levels of interest rate volatility also produce similar estimates of bond option values. This result is established for simple option forms with known closed-form solutions as well as for more complex options that require numerical methods for evaluation. The finding is confirmed for a wide range of economic conditions, and it is robust with respect to the number and nature of factors that generate interest-rate movements.
ER  -