{"title":"有限差分期权定价的Pull-to-Par-Bond模型","authors":"Michael J. Tomas, Jun Yu","doi":"10.3905/jfi.2023.1.163","DOIUrl":null,"url":null,"abstract":"This article presents a finite difference approach to a pull-to-par model for call and put options on zero-coupon bonds. The original solution was asymptotic and for European-styled options on bonds without coupons. As the asymptotic solution is an approximation to the true solution, the finite difference approach provides an easy alternative to estimating the true value. In addition, the finite difference approach presented here easily allows for the addition of coupons and American style pricing. The authors provide error rates vs. the original solution and illustrate values for options on bonds with coupons.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"33 1","pages":"129 - 139"},"PeriodicalIF":0.0000,"publicationDate":"2023-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Option Pricing with Finite Difference Using a Pull-to-Par Bond Model\",\"authors\":\"Michael J. Tomas, Jun Yu\",\"doi\":\"10.3905/jfi.2023.1.163\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article presents a finite difference approach to a pull-to-par model for call and put options on zero-coupon bonds. The original solution was asymptotic and for European-styled options on bonds without coupons. As the asymptotic solution is an approximation to the true solution, the finite difference approach provides an easy alternative to estimating the true value. In addition, the finite difference approach presented here easily allows for the addition of coupons and American style pricing. The authors provide error rates vs. the original solution and illustrate values for options on bonds with coupons.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"33 1\",\"pages\":\"129 - 139\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-07-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2023.1.163\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2023.1.163","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Option Pricing with Finite Difference Using a Pull-to-Par Bond Model
This article presents a finite difference approach to a pull-to-par model for call and put options on zero-coupon bonds. The original solution was asymptotic and for European-styled options on bonds without coupons. As the asymptotic solution is an approximation to the true solution, the finite difference approach provides an easy alternative to estimating the true value. In addition, the finite difference approach presented here easily allows for the addition of coupons and American style pricing. The authors provide error rates vs. the original solution and illustrate values for options on bonds with coupons.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.