European Option on Coupon-Bearing Bond under Standard Market Model

Posted by Fred

Option on Coupon-Bearing Bond

Input:
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) %
Output:
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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