European call option on a bond

Author: ihateyou Date of post: 13.06.2017

Valuation and Analysis: Bonds with Embedded Options Flashcards | Quizlet

The yield curve gives you the tools to calculate everyhing that is derived from it. Derivatives from the yield curve only are e. All these are discounted cashflows or portfolios based on discounted cashflows and forward rates which you can calculated from the yield curve.

If you calculate options swaptions, options on fixed-rate bonds then you will need the volatiltiy from the market. You need additional data. It is just as with a stock-index option.

Price European call option on bonds using Black model - MATLAB bkcall - MathWorks France

I need the stock price, risk-free rate, dividend-yield estimate and! Any other vol different than the implied vol with give me a different price different than the traded market price. I think the yield curve is not what you need here. Filipovic's book is an excellent reference for this and much more. By posting your answer, you agree to the privacy policy and terms of service.

Bond option - Wikipedia

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european call option on a bond

Join them; it only takes a minute: Here's how it works: Anybody can ask a question Anybody can answer The best answers are voted up and rise to the top. How to price an European call on zero-coupon from the yield curve? How to calculate this price having the yield curve as the only input data? Richard 7, 2 20 Paul 2 I guess there is a typo. That Thanks for your comment.

My question is all about how to calculate it just raving the Yield Curve as input and nothing else. I know it's somehow in there but maybe specifying this i.

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