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Pricing of Bond Options 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

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Repplinger, Detlef 作者

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出版日期

136 頁數

$ 101.64 價格

叢書系列

9783540707219 圖書編碼

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發表於2024-11-25

Pricing of Bond Options 在線電子書 epub 下載 mobi 下載 pdf 下載 txt 下載 2024

Pricing of Bond Options 在線電子書 epub 下載 pdf 下載 mobi 下載 txt 下載 2024

Pricing of Bond Options 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

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Pricing of Bond Options 在線電子書 pdf 下載 txt下載 epub 下載 mobi 在線電子書下載

Pricing of Bond Options 在線電子書圖書描述

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 interest rates. Therefore, unspanned stochastic volatility (USV) as well as Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms. Then the pricing of bond options is done either by running a Fractional Fourier Transform or by applying the Integrated Edgeworth Expansion approach. The latter is a new extension of a generalized series expansion of the (log) characteristic function, especially adapted for the computation of exercise probabilities.

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