Zobrazeno 1 - 10
of 178
pro vyhledávání: '"bond option"'
Publikováno v:
Fractal and Fractional, Vol 7, Iss 8, p 632 (2023)
The study of fractional partial differential equations is often plagued with complicated models and solution processes. In this paper, we tackle how to simplify a specific parabolic model to facilitate its analysis and solution process. That is, we i
Externí odkaz:
https://doaj.org/article/128d3441b9b84827ae274ecd30877f3e
Autor:
Jorge de Andrés-Sánchez
Publikováno v:
Axioms, Vol 12, Iss 7, p 668 (2023)
The primary objective of this paper is to expand Jamshidian’s bond option formula and compatible one-factor term structure models by incorporating the existence of uncertainty in the parameters governing interest-rate fluctuations. Specifically, we
Externí odkaz:
https://doaj.org/article/82e64e3d6aa6471582706ad830239cfd
Publikováno v:
Risks, Vol 10, Iss 10, p 188 (2022)
We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expr
Externí odkaz:
https://doaj.org/article/3815bdeec14d4c55b8a75a259ee58cde
Autor:
Andrés-Sánchez, Jorge de
Publikováno v:
Axioms; Volume 12; Issue 7; Pages: 668
The primary objective of this paper is to expand Jamshidian’s bond option formula and compatible one-factor term structure models by incorporating the existence of uncertainty in the parameters governing interest-rate fluctuations. Specifically, we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=multidiscipl::c683b2be9778c328b452af049a36a24c
Autor:
Björk, Tomas, author
Publikováno v:
Arbitrage Theory in Continuous Time, 2019.
Externí odkaz:
https://doi.org/10.1093/oso/9780198851615.003.0021
Akademický článek
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Akademický článek
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Publikováno v:
The Journal of Derivatives. 28:45-63
The underlying models for bond options are often based on some linear drift functions such that the option Greeks depend crucially on the mean reversion parameters. Substantial estimation bias may arise when these parameters are estimated using stand
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f50c1a4fc81ffd099507b4588c83d690
https://doi.org/10.3905/jod.2021.1.129
https://doi.org/10.3905/jod.2021.1.129
Autor:
Lee, David
Municipal Bond Options are European-style vanilla options on coupon bonds. The Municipal Bond Option Pricing Model is used for daily calculations of P&L and risk numbers. These options are of vanilla European type. Black’s model (Black-76 model) is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4bacbc287cb2c5de96ccaf6fd901712e
Autor:
Mpanda, Marc Mukendi
In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly posit
Externí odkaz:
http://hdl.handle.net/10500/13346