Pricing Stock and Bond Options when the Default-Free Rate is Stochastic
推导了无违约利率随机时股票和债券看涨期权的定价公式，分析了标的资产收益与短期利率变化的相关性对期权价值的影响，并通过数值分析比较了与Black-Scholes公式的差异。
We derive formulas for the valuation of call options on stocks and bonds when the defaultfree rate is stochastic. The formulas highlight the role of the correlation between the unanticipated returns on the underlying security and the changes in the short-term rate in determining the options value. Our numerical analysis indicates that option prices predicted by the proposed formula differ from those predicted by the Black and Scholes formula when this correlation is relatively large and the short-term rate's instantaneous variance is relatively large as well. Moreover, the proposed formula predicts higher (lower) stock option prices than those predicted by the Black and Scholes formula for correlation values that are lower (higher) than some positive critical value.