On the feasibility of arbitrage-based option pricing when stochastic bond price processes are involved
探讨在包含随机债券价格过程时，哪些债券价格过程可用于标准套利技术定价期权，并给出可行与不可行的例子，对金融经济学和期权定价研究者有参考价值。
There are many options which are based on interest rate sensitive assets. For example, debt options and currency options are best priced when a stochastic bond price process is included. However, not all stochastic bond price processes are feasible for use in pricing options by standard arbitrage techniques. This work draws on the results of Harrison and Kreps (J. Econ. Theory 20 (1979), 381–408) and relates them to pricing in the presence of stochastic bond price processes. Examples of feasible and infeasible bond price processes are given.