An Exact Bond Option Formula

Journal of Finance - Tập 44 Số 1 - Trang 205-209 - 1989
Farshid Jamshidian1
1Vice-president, Financial Strategies Group, Merrill Lynch Capital Markets. I am grateful to an anonymous referee for numerous helpful comments and to Yu Zhu for useful discussions.

Tóm tắt

ABSTRACTThis paper derives a closed‐form solution for European options on pure discount bonds, assuming a mean‐reverting Gaussian interest rate model as in Vasicek [8]. The formula is extended to European options on discount bond portfolios.

Từ khóa


Tài liệu tham khảo

Arnold L., 1974, Stochastic Differential Equations

10.2307/1911242

Dothan L. U., 1982, On the Term Structure of Interest Rates, Journal of Financial and Quantitative Analysis, 17, 75

Friedman A., 1975, Stochastic Differential Equations and Applications

10.1111/j.1540-6261.1986.tb02528.x

F.Jamshidian“Pricing of Contingent Claims in the One Factor Term Structure Model”.Working paper Merrill Lynch Capital Markets June1987.

10.2307/3003143

10.1016/0304-405X(77)90016-2

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Thông tin xuất bản

Journal of Finance

Tập 44 Số 1

205-209

Thông tin tác giả