Pricing and hedging bond options and sinking-fund bonds under the CIR model
This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the li...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10071/24701 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/24701 |