Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Larguinho, M., Dias, J. C. & Braumann, C. A. (2022). Pricing and hedging bond options and sinking-fund bonds under the CIR model. Quantitative Finance and Economics. 6 (1), 1-34
Exportar Referência (IEEE) 
M. M. Larguinho et al.,  "Pricing and hedging bond options and sinking-fund bonds under the CIR model", in Quantitative Finance and Economics, vol. 6, no. 1, pp. 1-34, 2022
Exportar BibTeX 
@article{larguinho2022_1734973171170,
	author = "Larguinho, M. and Dias, J. C. and Braumann, C. A.",
	title = "Pricing and hedging bond options and sinking-fund bonds under the CIR model",
	journal = "Quantitative Finance and Economics",
	year = "2022",
	volume = "6",
	number = "1",
	doi = "10.3934/QFE.2022001",
	pages = "1-34",
	url = "http://www.aimspress.com/journal/qfe"
}
Exportar RIS 
TY  - JOUR
TI  - Pricing and hedging bond options and sinking-fund bonds under the CIR model
T2  - Quantitative Finance and Economics
VL  - 6
IS  - 1
AU  - Larguinho, M.
AU  - Dias, J. C.
AU  - Braumann, C. A.
PY  - 2022
SP  - 1-34
SN  - 2573-0134
DO  - 10.3934/QFE.2022001
UR  - http://www.aimspress.com/journal/qfe
AB  - 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.
ER  -