The valuation of American options on bonds

Article Abstract:

A generalization of the Geske-Johnson method was utilized to assess American options on bonds. The method entails valuation of European and multiple exercise date options. For options with multiple exercise dates, the approach revealed the existence of a risk-neutral valuation relationship located on the lines of Black-Scholes model. Such relationship becomes evident when the asset price is lognormally distributed.

Public & Private Bonds, Analysis, Economic aspects, Options (Finance), Bonds, Bonds (Securities)

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Fixed Rate Loan Commitments, Take-Down, Risk and the Dynamics of Hedging with Futures

Article Abstract:

A model is developed to analyze hedging and fee pricing decisions of fixed rate loan commitments. Consideration is given to loan take-down risk as well as price risk. An optimal hedge ratio is formulated so that loan commitments behave stochastically over time.

Economic policy, Loans

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An appreciation of Lawrence G. Goldberg

Article Abstract:

A tribute to Lawrence G. Goldberg, who expired recently, is presented. Goldberg was an Associate editor of Journal of Banking and Finance. A brief profile of Goldberg is also presented.

United States, Executive changes & profiles, PRINTING AND PUBLISHING, Publishing, Publishing Industries, Printing & Publishing, Editorial, Publishing industry, Officials and employees, Appreciation, Biography, Personality profile, Goldberg, Lawrence G.

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