An Exact Bond Option Formula

1989220 citationsJournal Article

Authors

Farshid Jamshidian · Faculdades Guarulhos

Abstract

This paper derives a closed-form solution for European options on pure discount bonds, assuming a mean-reverting Gaussian interest rate model as in Vasicek [8]. The formula is extended to European options on discount bond portfolios.

Topics & Keywords

Stochastic processes and financial applications Capital Investment and Risk Analysis Monetary Policy and Economic Impact

Publication Details

Published in: The Journal of Finance

Volume 44, Issue 1, pp. 205-205

DOI: 10.2307/2328284

Field-Weighted Citation Impact: 3.93

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An Exact Bond Option Formula

Authors

Abstract

Topics & Keywords

Publication Details