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Determinants of the value of call options on default-free bonds

Article Abstract:

An analysis of alternative bond options and pricing models was conducted to identify the determinants of the value of call options on default-free bonds. Research results indicate that there are three basic determinants of bond option values: the slope of the term structure, the general measure of interest-rate uncertainty, and the short-term interest rate. Results also indicate that models of bond options are basically equivalent because they produce similar estimations of price if they are conditioned on the same values of the general determinants of bond-option values. The nature and amount of interest-rate factors, as well as the reasons a term structure takes a certain shape, are mostly unimportant.

Analysis, Options (Finance), Interest rates, Bonds, Bonds (Securities)

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Market timing, selectivity, and mutual fund performance: an empirical investigation

Article Abstract:

Mutual fund managers do possess some superior forecasting ability on the part of the fund at the individual level. An important implication of this is that funds with no forecasting abilities may consider a passive management strategy and provide shareholders with only a diversification of service.

Investments, Mutual funds

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