Simulation Analysis for the Pricing of Bond Option on Arbitrage-Free Models with Jump

摘要

We derive a closed-form solutions for bond option pricing on arbitrage-free models with jump and perform Monte Carlo simulation for them. We know that the bond option price on arbitrage-free models with jump is humped. The fact shows that valuations of this model estimate highly precision. In this paper, we simulate the proposed models by the Monte Carlo simulation with scenarious. By simulation analysis, we obtain that bond option prices on arbitrage-free models are larger than bond option prices on arbitrage-free models with jump. Lower value of precision in arbitrage-free models with jump correspond to sharper estimates.