Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/24701
Author(s): | Larguinho, M. Dias, J. C. Braumann, C. A. |
Date: | 2022 |
Title: | Pricing and hedging bond options and sinking-fund bonds under the CIR model |
Volume: | 6 |
Number: | 1 |
Pages: | 1 - 34 |
ISSN: | 2573-0134 |
DOI (Digital Object Identifier): | 10.3934/QFE.2022001 |
Keywords: | CIR model Bond options Greeks American options Static hedging Sinking-fund bonds |
Abstract: | This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup. |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
article_85323.pdf | Versão Editora | 556,77 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.