Pricing the Quality Option for the Bond Futures Contract in a Multifactor Vasicek Framework
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منابع مشابه
Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option∗
A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and Gaussian Heath, Jarrow, and Morton (1992) framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of Curran (1994) and Rogers and Shi (1995), or via a rank 1 approximation, following Brace and Musiela (1994). Mo...
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