Zero Coupon Bond Option (Call) Price

Posted by Szu-Yu (Gary) Pai  •  Filed under Interest Rate Models, Derivatives Pricing

The calculation is based on Hull-White model with spot rate curve 0.1-0.05*exp(-0.2*t).

Tagged: Hull-White, Interest Rate Models, Bond OptionCalculator

 •  Dec 27, 2012  • 

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