Bookcover of VALUATION OF OPTIONS ON FIXED INCOME
Booktitle:

VALUATION OF OPTIONS ON FIXED INCOME

A SIMPLIFIED APPROACH

LAP LAMBERT Academic Publishing (2010-07-13 )

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ISBN-13:

978-3-8383-8597-6

ISBN-10:
3838385977
EAN:
9783838385976
Book language:
English
Blurb/Shorttext:
The innovations made during the last years on financial activity have led to the emergence of increasingly complex figures, with new derivative and hybrid products. Among the existing products, options have experienced a spectacular growth in recent years, both in volume of trading, which has been considerable, growing to hundreds of millions of contracts and investors popularity. In this work analyse the main of Fixed Income Option Valuation Models. Interest rate is studies because of the different positions that the underlying asset can adopt. Whether the underlying asset is a future on debt, or an interest rate, the positions are different, so the valuation is different too. The literature analyzes this movement in options on spot (Hull, 2005). We have described one of the main differences between options on fixed income and options on spot. For this, based on Black (1976) model for options on interest rate futures, we have studied the influence of the underlying asset on the results obtained. Furthermore we have compared analytical solutions with the results obtained in the financial markets, analyzing the main differences.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
NATIVIDAD RODRIGUEZ-MASERO
Number of pages:
96
Published on:
2010-07-13
Stock:
Available
Category:
Economics
Price:
49.00 €
Keywords:
Options on fixed income, option pricing, Futures pricing, Black (1976) Model, Term Structure of Interest Rate

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