Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model

We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds. We provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying.

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Year of publication:	2003-10-12
Authors:	Henrard, Marc
Institutions:	EconWPA
Subject:	Bond option \| swaption \| explicit formula \| HJM model \| one factor model \| hedging

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - LaTeX; prepared on Linux; to print on HP;
Classification:	G13 - Contingent Pricing; Futures Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005076984