European Option on Coupon-Bearing Bond under Standard Market Model

Posted by Fred

Option on Coupon-Bearing Bond

Forward bond price volatility (sigma)
Time to maturity of option
Time to maturity of bond
Current bond price
Present value of the coupons
Strike price (K)
Interest rate (r) %
Price of Option

The calculation is based on Standard Market Model

Tagged: Bond Option Calculator, Standard Market Model,

 •  Mar 30, 2014  • 

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