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Valuation of Options on Fixed Income by Natividad Rodríguez-Masero (2010, Trade Paperback)

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About this product

Product Information

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 underlying asset on the results obtained. Furthermore we have compared analytical solutions with the results obtained in the financial markets, analyzing the main differences.

Product Identifiers

Publisher
LAP Gmbh & Company KG
ISBN-10
3838385977
ISBN-13
9783838385976
eBay Product ID (ePID)
125962076

Product Key Features

Book Title
Valuation of Options on Fixed Income
Author
Natividad Rodríguez-Masero
Format
Trade Paperback
Language
English
Topic
General, Economics / General, Investments & Securities / General
Publication Year
2010
Genre
Business & Economics
Number of Pages
96 Pages

Dimensions

Item Length
9in
Item Height
0.2in
Item Width
6in
Item Weight
5.5 Oz

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