-
American Bond Yield Option
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Derivative securities--Valuation
- Item Type:
- Essay
- Tag(s):
- American option, bond yield
- Permanent URL:
- https://doi.org/10.17613/csz0-0521
- Abstract:
- A valuation model is presented for pricing an American style call option on the yield of Treasury bond. The payoff is positive if the yield exceeds a predetermined strike level. The model assumes the yield of an American Treasury bond to be a log-normally distributed stochastic process and uses Monte-Carlo simulation to price the deal as a European call option.
- Notes:
- https://finpricing.com/lib/FiZeroBond.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 10 months ago
- License:
- Attribution
- Share this:
Open access, open source, open to all
bondamericanoption.pdf