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2 votes

University problem about Bond option

The question doesn’t make much sense. A 2pct yield strike on a 3month ZCB is equivalent to roughly a 99.5 price strike. So you sell a 99.5 call for 30 days to cap the upside on your bond in case the ...
dm63's user avatar
  • 17.1k
2 votes

Any good papers on Fixed Income Option pricing?

In the area that I'm familiar with, options on MBS TBAs, as commented by Dimitri, there don't appear to be any standard models. Among other reasons, this is probably due to a lack of liquidity in the ...
Sharad's user avatar
  • 1,211
1 vote

Bond price distribution if yield assumed log-normal

The shifted exponential of a lognormal distribution, just as the exponential of a lognormal distribution is a known in finance because of zero-coupon bond option. I am not aware of it being otherwise ...
Sebapi's user avatar
  • 461

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