Questions tagged [bond-options]

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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 ...
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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 ...