SHERP

The Pricing of Option on Bond Forwards

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Authors
Ahn, ChangMo; Cho, D. Chinhyung
Issue Date
2005
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 18 (No. 4 2005): 355-370
Keywords
Bond; Equilibrium; Futures; Option
Abstract
We derive closed-form solutions for the equilibrium prices of bonds, bond forwards, bond futures, options on the bond forwards and options on the bond futures when the interest rate is stochastic. The prices of options on the bond forwards are shown to be greater than the prices of option on the corresponding bond futures.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1344
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.18(4) (Winter 2005)
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