European Option on Zero Coupon Bond under Ho-Lee Model

Posted by Fred

Option on Zero Coupon Bond

Input:
Time to maturity of option (T)
Time to maturity of bond (S)
Price of zero-coupon bond for a maturity S
Price of zero-coupon bond for a maturity T
Instantaneous volatility (sigma)
Face value of bond
Strike price (K)
Output:
Price of Option

The calculation is based on Ho-Lee model

Tagged: Zero Coupon Bond Calculator, Short Rate Model, Ho-Lee Model

 •  Apr 13, 2014  • 

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