Pricing reset bond future option in two-factor HJM model

机译：两因素HJM模型中的定价重置债券未来期权

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摘要

We consider the term structure of forward rates driven by two independent Brownian Motion, By means of martingale method, we obtain the pricing formula of reset bond future calls and puts.

机译：考虑两个独立布朗运动驱动的远期利率期限结构，通过mar方法，获得了重置债券期货看跌期权和看跌期权的定价公式。

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来源
《The proceedings of 2010 international conference on probability and statistics of the International Institute for General Systems Studies.;vol. 1.;Advances on probability and statistics》|2010年|p.109-112|共4页
会议地点 Nanjing(CN);Nanjing(CN)
作者
Haiyan Zhou; Yun Xu;
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作者单位

College of Mathematics System science, Xinjiang, Urumqi 830046, China;

College of Mathematics System science, Xinjiang, Urumqi 830046, China;

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会议组织
原文格式 PDF
正文语种 eng
中图分类概率论与数理统计;概率论与数理统计;
关键词
reset bond future puts; reset bond future calls; Heath-Jarrow-Morton (HJM).;

机译：重置债券期货看跌期权；重置债券期货看涨期权；希思·贾罗·莫顿（HJM）。;

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Pricing reset bond future option in two-factor HJM model

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