A note on the pricing of double choice bonds

Nahum Biger, Ronen Israel

Research output: Contribution to journalArticlepeer-review


Double choice government bonds are traded regularly in the Israeli bond market. The bonds permit the holder to choose, retrospectively, between an index-linked principal and a partial dollar linked principal. A pricing model for such bonds is developed, in the absence of a risk-free interest rate which is commonly used in option pricing models. The model enables estimations of the dollar yields to maturity which are implicit in the market prices of the double choice bonds. It can also be applied to European choice bonds whose maturity values are denominated in terms of more than one currency.

Original languageEnglish
Pages (from-to)181-190
Number of pages10
JournalJournal of Banking and Finance
Issue number2
StatePublished - May 1989

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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