scholarly journals Stochastic Duration and Fast Coupon Bond Option Pricing in Multi-Factor Models

1998 ◽  
Author(s):  
Claus Munk
Keyword(s):  
Option Pricing ◽  
Factor Models ◽  
Stochastic Duration ◽  
Bond Option ◽  
Coupon Bond

scholarly journals Group Classification of a General Bond-Option Pricing Equation of Mathematical Finance

2014 ◽  
Vol 2014 ◽  
pp. 1-10 ◽  
Author(s):  
Tanki Motsepa ◽  
Chaudry Masood Khalique ◽  
Motlatsi Molati
Keyword(s):  
Option Pricing ◽  
Three Dimensional ◽  
Mathematical Finance ◽  
Group Classification ◽  
Lie Point Symmetries ◽  
Group Invariant ◽  
Black Scholes ◽  
Group Invariant Solutions ◽  
Bond Option

We carry out group classification of a general bond-option pricing equation. We show that the equation admits a three-dimensional equivalence Lie algebra. We also show that some of the values of the constants which result from group classification give us well-known models in mathematics of finance such as Black-Scholes, Vasicek, and Cox-Ingersoll-Ross. For all such values of these arbitrary constants we obtain Lie point symmetries. Symmetry reductions are then obtained and group invariant solutions are constructed for some cases.

Asset pricing under general collateralization

2017 ◽  
Vol 04 (02n03) ◽  
pp. 1750019
Author(s):  
Yanhui Mi
Keyword(s):  
Asset Pricing ◽  
Market Model ◽  
Model Framework ◽  
Libor Market Model ◽  
Sabr Model ◽  
Bond Option ◽  
Coupon Bond ◽  
Joint Evolution ◽  
Pricing Formula

We consider the valuation of collateralized derivative contracts such as bond option or Caplet contracts. We allow for posting different collaterals such as securities or cash for the derivatives and its hedges. The pricing is based on modeling the joint evolution of collateral rate and the spread between collaterals. The Hull–White models are applied to collateral rate and spread to generate the closed pricing formula for zero coupon bond option. We also derive the pricing formula for Caplet under the Libor Market model and SABR model framework.

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