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http://hdl.handle.net/10071/24701
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Campo DC | Valor | Idioma |
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dc.contributor.author | Larguinho, M. | - |
dc.contributor.author | Dias, J. C. | - |
dc.contributor.author | Braumann, C. A. | - |
dc.date.accessioned | 2022-03-07T11:43:54Z | - |
dc.date.available | 2022-03-07T11:43:54Z | - |
dc.date.issued | 2022 | - |
dc.identifier.issn | 2573-0134 | - |
dc.identifier.uri | http://hdl.handle.net/10071/24701 | - |
dc.description.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. | eng |
dc.language.iso | eng | - |
dc.publisher | American Institute of Mathematical Sciences | - |
dc.relation | UID/04674/2020 | - |
dc.relation | UIDB/00315/2020 | - |
dc.rights | openAccess | - |
dc.subject | CIR model | eng |
dc.subject | Bond options | eng |
dc.subject | Greeks | eng |
dc.subject | American options | eng |
dc.subject | Static hedging | eng |
dc.subject | Sinking-fund bonds | eng |
dc.title | Pricing and hedging bond options and sinking-fund bonds under the CIR model | eng |
dc.type | article | - |
dc.pagination | 1 - 34 | - |
dc.peerreviewed | yes | - |
dc.journal | Quantitative Finance and Economics | - |
dc.volume | 6 | - |
dc.number | 1 | - |
degois.publication.firstPage | 1 | - |
degois.publication.lastPage | 34 | - |
degois.publication.issue | 1 | - |
degois.publication.title | Pricing and hedging bond options and sinking-fund bonds under the CIR model | eng |
dc.date.updated | 2022-03-07T11:43:18Z | - |
dc.description.version | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.doi | 10.3934/QFE.2022001 | - |
iscte.subject.ods | Indústria, inovação e infraestruturas | por |
iscte.identifier.ciencia | https://ciencia.iscte-iul.pt/id/ci-pub-85323 | - |
iscte.alternateIdentifiers.wos | WOS:000743241400001 | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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article_85323.pdf | Versão Editora | 556,77 kB | Adobe PDF | Ver/Abrir |
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