Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）,...Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.展开更多
基金Project supported by the Key Project of Shanghai Municipal Commission of Science and Technology(Grant No.03JC14050)
文摘Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.
