Bond option pricing under the CKLS model

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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...

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Bibliographic Details
Main Authors:	Khor, C. Y., Pooi, Ah Hin *, Ng, Kok Haur
Format:	Conference or Workshop Item
Language:	English
Published:	2012
Subjects:	HG Finance QA Mathematics
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

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