Detlef Repplinger – Pricing of Bond Options
Detlef Repplinger – Pricing of Bond Options
Detlef Repplinger – Pricing of Bond Options
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Description
DETLEF REPPLINGER – PRICING OF BOND OPTIONS
The book focuses on the development of a consistent unified model framework for the evaluation of bond options. There are options on zero bonds and options on coupon bearing bonds. Random Field and USV models are used to model the dynamics of entire yield curves. Random Field models allow for a correlation structure between bond prices of different terms, while the USV models postulate a correlation between the bond price dynamics and the volatility process. The Integrated Edgeworth Expansion approach is used for the pricing of bond options. A generalized series expansion of the (log) characteristic function is adapted for the computation of exercise probabilities.
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