Published February 27, 2023
| Version v1
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Bond Option Valuation
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Description
We present a pricing model for bond option. Assuming that the bond price at the maturity of the option is lognormal, the model adopts the Black’s analytical closed-form solution. both the underlying spot price of bond and the strike price are clean prices (quoted prices), while dirty prices are used in the price dynamic and the closed-form solution.
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https://ia904707.us.archive.org/2/items/variable-mbs/VariableMbs.pdf
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BondOption.pdf
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