Time-Dependent Variance and the Pricing of Bond Options
提出一个债券期权定价模型，假设收益率标准差与债券久期成正比，以债券价格为唯一状态变量，保留了Black-Scholes模型的简洁性和稳健性，并与Black-Scholes及Brennan-Schwartz模型进行了比较。
In this paper, we develop a model for valuing debt options that takes into account the changing characteristics of the underlying bond by assuming that the standard deviation of return is proportional to the bond's duration. The resulting model uses the bond price as the single state variable and thus preserves much of the simplicity and robustness of the Black-Scholes approach. The paper provides comparisons between option prices computed using this model and those using the Black-Scholes and Brennan and Schwartz models.