CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS

Authors

  • Stanley Fischer

    Search for more papers by this author
    • Department of Economics, Massachusetts Institute of Technology. This paper was written while I was visiting at the Institute for Advanced Studies, Hebrew University of Jerusalem. I am indebted to the referee, Sudipto Bhattacharya, Dan Galai, and members of the Finance Workshop at the Hebrew University for comments. Research support from the National Science Foundation is gratefully acknowledged.

Ancillary