An inverse problem of zero-coupon bond pricing;
一个关于零息票定价的反问题
The pricing of coupon-bearing bond option with delay in delivery is discussed,where the fundamental solution of partial differential equation is adopted and an explicit pricing formula of European option based on Hull-White model of short interest rate is exhibited.
采用赫尔-怀特(Hull-White)短期利率模型,利用偏微分方程基本解方法,分别就标准型和资产交付日滞后于期权到期日类型的欧式附息票债券期权给出定价公式。
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