Abstract

https://ssrn.com/abstract=434860
 
 

References (12)



 
 

Citations (14)



 


 



Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model


Marc P. A. Henrard


OpenGamma; University College London - Department of Mathematics



Abstract:     
We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds. We provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying.

Number of Pages in PDF File: 12

Keywords: Bond option, swaption, explicit formula, HJM model, one factor model, hedging

JEL Classification: G13


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Date posted: November 30, 2003  

Suggested Citation

Henrard, Marc P. A., Explicit Bond Option and Swaption Formula in Heath-Jarrow-Morton One Factor Model. Available at SSRN: https://ssrn.com/abstract=434860 or http://dx.doi.org/10.2139/ssrn.434860

Contact Information

Marc P. A. Henrard (Contact Author)
OpenGamma ( email )
107 Leadenhall Street - 5th floor
London, EC3A 4AF
United Kingdom
University College London - Department of Mathematics ( email )
Gower Street
London, WC1E 6BT
United Kingdom
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