Interest Rate Uncertainty and the Pricing of Bond Options

Interest Rate Uncertainty and the Pricing of Bond Options
Author: Sudipto Bhattacharya
Publisher:
Total Pages: 14
Release: 1977
Genre:
ISBN:

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Interest Rate Uncertainty and the Pricing of Bond Options
Language: en
Pages: 14
Authors: Sudipto Bhattacharya
Categories:
Type: BOOK - Published: 1977 - Publisher:

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Spanned Stochastic Volatility in Bond Markets
Language: en
Pages: 46
Authors: Don H. Kim
Categories: 1996-2008
Type: BOOK - Published: 2007 - Publisher:

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This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor relative pricing between bonds and bond options.
Pricing of Bond Options
Language: en
Pages: 141
Authors: Detlef Repplinger
Categories: Business & Economics
Type: BOOK - Published: 2008-08-15 - Publisher: Springer Science & Business Media

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A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g.
Pricing Interest Rate Derivatives Under Volatility Uncertainty
Language: en
Pages:
Authors: Julian Holzermann
Categories:
Type: BOOK - Published: 2020 - Publisher:

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We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an arbitrage-free bond market under volatility
The Economics of Recent Bond Yield Volatility
Language: en
Pages: 140
Authors: C. E. V. Borio
Categories: Bond market
Type: BOOK - Published: 1996 - Publisher: Bank for International Settlements

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