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Journal article Open Access Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 2 Citations Quartil Q2

Pricing and hedging bond options and sinking-fund bonds under the CIR model

Larguinho, Manuela , Dias, José Carlos , Braumann, C. A.
ISLA — Instituto Politécnico de Gestão e Tecnologia
Quantitative Finance and Economics, Volume 6, Issue 1, 2022, pp. 1–34
DOI: 10.3934/qfe.2022001

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Abstract
<abstract><p>This article derives simple closed-form solutions for computing Greeks of zero-coupon and coupon-bearing bond options under the CIR interest rate model, which are shown to be accurate, easy to implement, and computationally highly efficient. These novel analytical solutions allow us to extend the literature in two other directions. First, the static hedging portfolio approach is used for pricing and hedging American-style plain-vanilla zero-coupon bond options under the CIR model. Second, we derive analytically the comparative static properties of sinking-fund bonds under the same interest rate modeling setup.</p></abstract>

Keywords

#bond options #closed-form pricing #Greeks #static hedging #American options #zero-coupon bonds #comparative statics #Coupon #Bond #Portfólio #Zero-coupon bond #Interest rate #Economics

Bibliographic Details

Publication Type Journal article
Publication Year 2022
Journal / Conference / Work Quantitative Finance and Economics
ISSN 2573-0134
Volume / Issue Vol. 6 (1)
Pagination pp. 1–34
Quartile (SCImago) Q2
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

M
Maria Manuela Coelho Larguinho
mlarguinho@iscac.pt ID: 3014-AFB1-2513
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