A REEXAMINATION OF OPTION VALUES IMPLICIT IN CALLABLE TREASURY BONDS

• 成果类型: Article
• 署名作者: JORDAN, BD; JORDAN, SD; JORGENSEN, RD
• 署名单位: University of Maine System; University of Southern Maine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)00813-G
• 发表日期: 1995
• 页码: 141-162
• 关键词: Callable bond; CALL FEATURE; TREASURE BOND; BOND OPTION

摘要

Longstaff(l992) and Edleson, Fehr, and Mason (1993) examine option values implicit in callable Treasury bonds and report a significant puzzle: implied option values are frequently negative. Using an alternative approach, we reexamine this issue and find that implied option values are generally positive, and, in contrast to previous studies, instances of option values sufficiently negative to overcome the bid-ask spread are rare. We explain the findings in other studies by showing that the method used may lead to the appearance of a negative option value when the true value is positive.