Another Look at the Ho–Lee Bond Option Pricing Model
نویسندگان
چکیده
منابع مشابه
Bond Option Pricing under the CKLS Model
Consider the European call option written on a zero-coupon bond. Suppose the call option has maturity T and strike price K while the bond has maturity S>T. We propose a numerical method for evaluating the call option price under the Chan, Karolyi, Longstaff and Sanders (CKLS) model in which the increment of the short rate over a time interval of length dt, apart from being independent and stati...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2018
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2018.25.4.048