An Asymptotic Solution for Call Options on Zero-Coupon Bonds

We present an asymptotic solution for call options on zero-coupon bonds, assuming a stochastic process the price of bond, rather than interest rates in general. The bond incorporates dampening return volatility based maturity bond. derive PDE similar way to Black and Scholes. Using perturbation approach, we value option. result is interesting, as leading order terms are equivalent Black–Scholes model additional next provide adjustment that results from In addition, solution, delta, gamma, vega theta solutions. some comparison values Greeks.