Published February 27, 2023
| Version v1
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Bond Futures Option
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Description
We present a pricing model for bond futures option. Assuming that the bond futures price at the maturity of the option is lognormal, the model adopts the Black’s analytical closed-form solution. The futures price is taken directly from the market instead of being calculated from the bond futures calculator.
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https://ia904700.us.archive.org/33/items/local-vol-greek/LocalVolGreek.pdf
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BondFuturesOption.pdf
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(95.8 kB)
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