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VALUATION OF OPTIONS ON FIXED INCOME   NATIVIDAD RODRIGUEZ-MASERO

VALUATION OF OPTIONS ON FIXED INCOME

96 страниц. 2010 год.
LAP Lambert Academic Publishing
The innovations made during the last years on financial activity have led to the emergence of increasingly complex figures, with new derivative and hybrid products. Among the existing products, options have experienced a spectacular growth in recent years, both in volume of trading, which has been considerable, growing to hundreds of millions of contracts and investors popularity. In this work analyse the main of Fixed Income Option Valuation Models. Interest rate is studies because of the different positions that the underlying asset can adopt. Whether the underlying asset is a future on debt, or an interest rate, the positions are different, so the valuation is different too. The literature analyzes this movement in options on spot (Hull, 2005). We have described one of the main differences between options on fixed income and options on spot. For this, based on Black (1976) model for options on interest rate futures, we have studied the influence of the...
 
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