An Exact Bond Option Formula
- 1 March 1989
- journal article
- Published by JSTOR in The Journal of Finance
- Vol. 44 (1) , 205-209
- https://doi.org/10.2307/2328284
Abstract
This paper derives a closed-form solution for European options on pure discount bonds, assuming a mean-reverting Gaussian interest rate model as in Vasicek [8]. The formula is extended to European op...Keywords
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