Relevant bibliographies by topics / Zero Coupon Bond Options

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Zero Coupon Bond Options'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Zero Coupon Bond Options"

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Tomas, Michael J., and Jun Yu. "An Asymptotic Solution for Call Options on Zero-Coupon Bonds." Mathematics 9, no. 16 (2021): 1940. http://dx.doi.org/10.3390/math9161940.

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We present an asymptotic solution for call options on zero-coupon bonds, assuming a stochastic process for the price of the bond, rather than for interest rates in general. The stochastic process for the bond price incorporates dampening of the price return volatility based on the maturity of the bond. We derive the PDE in a similar way to Black and Scholes. Using a perturbation approach, we derive an asymptotic solution for the value of a call option. The result is interesting, as the leading order terms are equivalent to the Black–Scholes model and the additional next order terms provide an
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HENRARD, MARC. "EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL." International Journal of Theoretical and Applied Finance 06, no. 01 (2003): 57–72. http://dx.doi.org/10.1142/s0219024903001785.

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We hereby present an explicit formula for European options on coupon bearing bonds in the Heath–Jarrow–Morton one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds for special form of volatility. Moreover we present a formula for zero-coupon bonds without condition on the volatility. We provide also an explicit way to compute the hedging ratio (Δ) in order to hedge the options individually.
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FERGUSSON, K. "ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE." Annals of Financial Economics 12, no. 01 (2017): 1750005. http://dx.doi.org/10.1142/s2010495217500051.

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Vasicek's short rate model is a mean reverting model of the short rate which permits closed-form pricing formulae of zero coupon bonds and options on zero coupon bonds. This paper supplies proofs which are valid for any single factor mean reverting Gaussian short rate model having time-inhomogeneous parameters. The formulae are for the expected present value of payoffs under the real-world probability measure, known as actuarial pricing. Importantly, we give formulae for asymptotic levels of bond yields and volatilities for extended Vasicek models when suitable conditions are imposed on the mo
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Ma, Yong-Ki, and Beom Jin Kim. "Asymptotic Analysis for One-Name Credit Derivatives." Abstract and Applied Analysis 2013 (2013): 1–9. http://dx.doi.org/10.1155/2013/567340.

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We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of interest rate process. Perturbations from the stochastic volatility are computed by using an asymptotic analysis. We also study the sensitive properties of the defaultable bond prices and the yield curves.
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Culp, Christopher L., Yoshio Nozawa, and Pietro Veronesi. "Option-Based Credit Spreads." American Economic Review 108, no. 2 (2018): 454–88. http://dx.doi.org/10.1257/aer.20151606.

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We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo firm assets. Empirically, like corporate spreads, pseudo bond spreads are large, countercyclical, and predict lower economic growth. Using this framework, we find that bond market illiquidity, investors' overestimation of default risks, and corporate frictions do not seem to explain excessive observed credit spreads but, instead, a risk premium for tail
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Kim, Beom Jin, Chan Yeol Park, and Yong-Ki Ma. "Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model." Journal of Applied Mathematics 2014 (2014): 1–12. http://dx.doi.org/10.1155/2014/968065.

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We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations. We consider the intensity-based defaultable bond, where the volatility of the default intensity is driven by multiple time scales. Small corrections are computed using regular and singular perturbations to the intensity of default. The effectiveness of these corrections is tested on the bond price and yield curve by investigating the behavior of the time scales with respect to the relevant parameters.
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Câmara, António, and Ana Câmara. "Forward-neutral valuation relationships for options on zero coupon bonds." Quantitative Finance 12, no. 8 (2012): 1241–52. http://dx.doi.org/10.1080/14697688.2010.507212.

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Allegretto, Walter, Yanping Lin, and Hongtao Yang. "Numerical pricing of American put options on zero-coupon bonds." Applied Numerical Mathematics 46, no. 2 (2003): 113–34. http://dx.doi.org/10.1016/s0168-9274(03)00034-5.

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MILLER, SHANE M., and ECKHARD PLATEN. "ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE." International Journal of Theoretical and Applied Finance 11, no. 08 (2008): 841–67. http://dx.doi.org/10.1142/s0219024908005056.

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This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth optimal portfolio (GOP) as a well-diversified equity index. It captures both leptokurtic returns with correct tail properties and the leverage effect. Under the SMMM, the discounted GOP takes the form of a time-transformed squared Bessel process of dimension four. From this property, one finds that the SMMM possesses a special and interesting relationship to non-central chi
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ShuJin, Li, and Li ShengHong. "Pricing American interest rate option on zero-coupon bond numerically." Applied Mathematics and Computation 175, no. 1 (2006): 834–50. http://dx.doi.org/10.1016/j.amc.2005.08.008.

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Dissertations / Theses on the topic "Zero Coupon Bond Options"

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Senturk, Huseyin. "An Empirical Comparison Of Interest Rate Models For Pricing Zero Coupon Bond Options." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609786/index.pdf.

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The aim of this study is to compare the performance of the four interest rate models (Vasicek Model, Cox Ingersoll Ross Model, Ho Lee Model and Black Der- man Toy Model) that are commonly used in pricing zero coupon bond options. In this study, 1{5 years US Treasury Bond daily data between the dates June 1, 1976 and December 31, 2007 are used. By using the four interest rate models, estimated option prices are compared with the real observed prices for the begin- ing work days of each months of the years 2004 and 2005. The models are then evaluated according to the sum of squared errors. Optio
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Leies, Caroline Marie. "The term structure of zero-coupon and coupon bonds : a comparative analysis /." Thesis, This resource online, 1995. http://scholar.lib.vt.edu/theses/available/etd-06082009-171134/.

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Benton, Steven Bryant. "The term structure of interest rates : a comparative analysis of zero-coupon bond forward rates and Eurodollar futures rates /." Thesis, This resource online, 1996. http://scholar.lib.vt.edu/theses/available/etd-06112009-063153/.

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Sousa, João Beleza Teixeira Seixas e. "Machine learning Gaussian short rate." Doctoral thesis, Faculdade de Ciências e Tecnologia, 2013. http://hdl.handle.net/10362/12230.

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Dissertação para obtenção do Grau de Doutor em Estatística e Gestão do Risco<br>The main theme of this thesis is the calibration of a short rate model under the risk neutral measure. The problem of calibrating short rate models arises as most of the popular models have the drawback of not fitting prices observed in the market, in particular, those of the zero coupon bonds that define the current term structure of interest rates. This thesis proposes a risk neutral Gaussian short rate model based on Gaussian processes for machine learning regression using the Vasicek short rate model as pr
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Mpanda, Marc Mukendi. "Pricing European and American bond options under the Hull-White extended Vasicek Model." Diss., 2013. http://hdl.handle.net/10500/13346.

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In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation formula, we first derive simple closed–form expression for pricing European bond option in the Hull-White extended Vasicek model framework. As the European option can be exercised only on the maturity date, we then examine the case of early exercise opportunity commonly called American option. With
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Chi, Chen Wen, and 陳文琦. "The Valuation and Risk Analysis of Zero Coupon Callable Bond." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/95356950191938660093.

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碩士<br>東吳大學<br>財務工程與精算數學系<br>104<br>Recently, the global interest rates continuing to drop, earnings of financial products have declined. Callable bonds usually offer higher yield; thus they attract the attention of investors and make the joint issuance of callable bond increase rapidly. The long term callable zero coupon bonds has always been an important investment target of financial institutions, which affect the level and risk of appearance. In this thesis, we quote the Cox, Ingersoll, Ross (CIR) model by to catch stochastic interest rate behavior and movements. Moreover, we also adopt Lon
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Wu, Chung-Fan, and 吳忠凡. "Credit Valuation Adjustment and Pricing for Zero-Coupon Bond with Random Recovery Rate." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/22539450846662896411.

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碩士<br>東吳大學<br>財務工程與精算數學系<br>100<br>With the continuous development of financial markets, many financial institutions have complex transaction contract between each other, Lehman Brothers declared bankruptcy in 2008 and triggered a financial tsunami, led to many banks and insurance companies have been default, so supervisory agencies starting to focus on counterparty credit risk (CCR) control. The so-called CCR refers to the risk of default by the counterparty in the contract within the expiration date, credit valuation adjustment (CVA) is the measure of CCR. Calculate the CVA process requires
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Books on the topic "Zero Coupon Bond Options"

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Interest rates and coupon bonds in quantum finance. Cambridge University Press, 2010.

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Smith, Donald J. Bond math: The theory behind the formulas. J. Wiley, 2011.

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Andre-Levy, Michel, and Alban de Clermont-Tonnerre. Zero Coupon Bonds and Bond Stripping. IFR Publishing Ltd, 1995.

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Universidad Católica Andrés Bello. Instituto de Investigaciones Económicas y Sociales., ed. El Zero coupon bond y la deuda privada. Instituto de Investigaciones Económicas y Sociales, Universidad Católica Andrés Bello, 1985.

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Bond Math The Theory Behind The Formulas. John Wiley & Sons Inc, 2014.

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Book chapters on the topic "Zero Coupon Bond Options"

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Valkov, R. L. "Petrov-Galerkin Analysis for a Degenerate Parabolic Equation in Zero-Coupon Bond Pricing." In Large-Scale Scientific Computing. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-29843-1_75.

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"Zero-Coupon Bonds." In Bond Math. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118268001.ch2.

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"Zero coupon bond." In ACT Companion to Treasury Management. Elsevier, 1999. http://dx.doi.org/10.1016/b978-1-85573-327-5.50201-7.

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Björk, Tomas. "Change of Numeraire." In Arbitrage Theory in Continuous Time. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.003.0015.

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In this chapter we discuss how a suitable change of numeraire and the corresponding change of martingale measure, can simplify the computation of pricing formula for financial derivatives. We derive a general formula for the likelihood process related to an arbitrary numeraire, and we identify the corresponding Girsanov transformation. As an example, we compute the price of an exchange option. In particular we study the class of forward measures related to zero coupon bonds and we derive a general option pricing formula. As an application of the general theory we also study the so-called numeraire portfolio.
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Björk, Tomas. "Short Rate Models." In Arbitrage Theory in Continuous Time. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.003.0020.

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Diebold, Francis X., and Glenn D. Rudebusch. "Facts, Factors, and Questions." In Yield Curve Modeling and Forecasting. Princeton University Press, 2013. http://dx.doi.org/10.23943/princeton/9780691146805.003.0001.

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This chapter introduces some important conceptual, descriptive, and theoretical considerations regarding nominal government bond yield curves. Conceptually, just what is it that are we trying to measure? How can we best understand many bond yields at many maturities over many years? Descriptively, how do yield curves tend to behave? Can we obtain simple yet accurate dynamic characterizations and forecasts? Theoretically, what governs and restricts yield curve shape and evolution? Can we relate yield curves to macroeconomic fundamentals and central bank behavior? The discussions cover three interest rate curves, zero-coupon yields, yield curve facts, yield curve factors, and yield curve questions.
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Conference papers on the topic "Zero Coupon Bond Options"

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Curtis Lartey, Victor, and Yao Li. "ZERO-COUPON YIELD CURVE FOR NIGERIAN BOND MARKET." In International Conference on Economics, Finance and Statistics. Volkson Press, 2018. http://dx.doi.org/10.26480/icefs.01.2018.76.78.

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Chernogorova, T., R. Valkov, Michail D. Todorov, and Christo I. Christov. "A Computational Scheme for a Problem in the Zero-coupon Bond Pricing." In APPLICATION OF MATHEMATICS IN TECHNICAL AND NATURAL SCIENCES: Proceedings of the 2nd International Conference. AIP, 2010. http://dx.doi.org/10.1063/1.3526634.

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Fujiwara, Hajime, Masaaki Kijima, and Katsumasa Nishide. "Estimation of the Local Volatility of Discount Bonds Using Market Quotes for Coupon-Bond Options." In Proceedings of the 2008 Daiwa International Workshop on Financial Engineering. WORLD SCIENTIFIC, 2009. http://dx.doi.org/10.1142/9789814273473_0003.

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Chernogorova, Tatiana, Lubin Vulkov, George Venkov, Ralitza Kovacheva, and Vesela Pasheva. "A Comparison of Some Difference Schemes for a Parabolic Problem of Zero-Coupon Bond Pricing." In 35TH INTERNATIONAL CONFERENCE “APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS”: AMEE-2009. AIP, 2009. http://dx.doi.org/10.1063/1.3271611.

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