Bond option pricing under the CKLS model
Consider the European call option written on a zero coupon bond. Suppose the call option has maturity T and strike price K while the bond has maturity S T . We propose a numerical method for evaluating the call option price under the Chan, Karolyi, Longstaff and Sanders (CKLS) model in which t...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/200/ http://eprints.sunway.edu.my/200/1/Pooi%20Ah%20Hin%20-%20Bond%20option%20pricing%20under%20the%20CKLS%20model.pdf |