债券期权定价的二项拉动模型

Jurnal Derivat Pub Date : 2023-04-05 DOI:10.3905/jod.2023.1.180

Michael J. Tomas, Jun Yu

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引用次数: 0

摘要

我们提出了一种基于树的方法，用于Tomas和Yu(2021)提出的零息债券看涨期权的拉至平价模型。所提出的二项方法是原始模型解决方案的一种简单替代方案。该模型收敛于Tomas和Yu给出的随机过程。给出了看涨期权和看跌期权原始模型的一些说明性比较值。本文还讨论了美式期权定价和增加息票的问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Pull-to-Par Binomial Model for Pricing Options on Bonds

We present a tree-based approach to the Pull-to-Par model for call options on zero-coupon bonds presented in Tomas and Yu (2021). The binomial approach presented is a simple alternative to the original model solution. The model presented converges to the stochastic process given in Tomas and Yu. Some illustrative comparison values to the original model for calls and puts are given. A discussion of American option pricing and the addition of coupons is also presented and illustrated.

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