On Sharp Estimating of Bond Option Prices for Heath-Jarrow-Morton Model Based on Jump

摘要

We propose Heath-Jarrow-Morton (HJM) model in which the forward rate follows a jump-diffusion process. We represent HJM model based on jump and give the analytic proof for it. We derive a closed-form solution of the European bond option for HJM model based on jump. We get the fact that bond option price for the proposed model estimate highly precision. Furthermore, we simulate the proposed model by Monte Carlo method with scenarios. Lower value of precision of bond option price for HJM model based on jump means sharper estimates.