A simple approach to bond option pricing

Article Abstract:

European options on bond portfolios can be valued against a one factor framework. A closed-form formula for options on discount bonds can also apply to bond portfolios, simplifying the pricing method for coupon bond options. The simple approach can also be used to analyze bond option pricing from an alternative angle which takes into account the effects of duration and convexity on bond option prices. This simple approach has the advantage of requiring only one option value to be calculated, the non-utilization of iterative calculations and the simplification of hedging.

Public & Private Bonds, Bonds, Bonds (Securities)

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Some easy-to-implement methods of calculating American futures option prices

Article Abstract:

Four methods for measuring prices of US futures options are presented as viable alternatives to the more traditional multiplicative valuation techniques. The four proposed approaches are called MA, MB, MC and MR. They are especially useful in ISD estimation which involves the measurement of the expectations on the price volatility of futures. They generally generate more accurate results and are very simple to use.

Measurement, Options (Finance)

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Approximate basket option valuation for a simplified jump process

Article Abstract:

The utility of the Bernoulli jump process to develop a stochastic model, for the derivation of formulae to evaluate approximate basket options is discussed.

Greece, Usage, Evaluation, Learning models (Stochastic processes), Stochastic models

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