Pricing and hedging bond options and sinking-fund bonds under the CIR model

IF 3.2 Q1 BUSINESS, FINANCE
Manuela Larguinho, José Carlos Dias, C. Braumann
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引用次数: 0

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.
CIR模型下债券期权和下沉基金债券的定价与对冲
本文推导了在CIR利率模型下计算零息债券和含息债券期权希腊值的简单闭式解,结果表明该解准确、易于实现、计算效率高。这些新颖的分析解使我们能够在另外两个方向上扩展文献。首先,在CIR模型下,采用静态对冲组合方法对美式普通零息债券期权进行定价和对冲。其次,分析得出了在相同利率模型设置下下沉基金债券的比较静态特性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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