Pricing of Bond Options

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of intere...

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Bibliographic Details
Main Author: Repplinger, Detlef
Format: Book
Language:English
Published: Springer 2017
Subjects:
Online Access:http://repository.vnu.edu.vn/handle/VNU_123/25766
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Institution: Vietnam National University, Hanoi
Language: English