Questions tagged [bond-options]
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University problem about Bond option [closed]
Good morning,
Next week I'll have Derivates Final test and I've a doubt about Bond Option.
If I have one ZCB, price 90 with 3 month maturity and strike 100, and I want a minimum yield of 2%, what type ...
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Any good papers on Fixed Income Option pricing?
Whilst I have managed to find plenty of material on pricing of Interest Rate Options (i.e. Caps, Floors, Swaptions, spread-options, etc.), I haven't really managed to find any solid papers on the ...
- 5,998
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Bond price distribution if yield assumed log-normal
Suppose we assume that yields on a zero-coupon bond that matures at time $T$ follow a log-normal process of the type $y(t,T)=y(t_0,T)e^{-0.5\sigma^2t+\sigma W_t}$ under the T-forward measure.
Then, I ...
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