Português
Ciência-IUL
Publications
Publication Detailed Description
Journal Title
Quantitative Finance and Economics
Year (definitive publication)
2022
Language
English
Country
United States of America
More Information
Web of Science®
Scopus
This publication is not indexed in Scopus
Google Scholar
Abstract
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.
Acknowledgements
--
Keywords
CIR model,Bond options,Greeks,American options,Static hedging,Sinking-fund bonds
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UID/04674/2020 | Fundação para a Ciência e a Tecnologia |
| UIDB/00315/2020 | Fundação para a Ciência e a Tecnologia |
Contributions to the Sustainable Development Goals of the United Nations
With the objective to increase the research activity directed towards the achievement of the United Nations 2030 Sustainable Development Goals, the possibility of associating scientific publications with the Sustainable Development Goals is now available in Ciência-IUL. These are the Sustainable Development Goals identified by the author(s) for this publication. For more detailed information on the Sustainable Development Goals, click here.
