We reviewed (extended and made more compact/self-explained) some formulas, previously appeared in the literature, for the evaluation of equity options and bond options in the Leland model (1994), where stockholders have a perpetual American option to default.Our formulas have been expressed in...

In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market information about future volatility or if they contribute to volatility discovery by their own. As a result,...