Pricing Bond and Interest Rate Options
Bond and interest rate spot and futures options derive their values from the underlying interest rates. As such, the binomial pricing of options on bonds, interest rate and bond futures contracts, caplets, floorlets, and convertibles starts with the derivation of a binomial model for spot interest r...
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| Format: | Buchkapitel |
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| Sprache: | eng |
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| Online-Zugang: | Volltext |
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| Zusammenfassung: | Bond and interest rate spot and futures options derive their values from the underlying interest rates. As such, the binomial pricing of options on bonds, interest rate and bond futures contracts, caplets, floorlets, and convertibles starts with the derivation of a binomial model for spot interest rates. Chapter 13 completes the analysis of option pricing by examining the binomial interest rate model for the pricing of bond and interest rate spot and futures options. |
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| DOI: | 10.1002/9781118695258.ch13 |