Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework
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 foreign bond futures option.
Heath-Jarrow-Morton(HJM),forward martingale measure method, bond futures options.
丁杰能、韩东
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Department of Mathematics, Shanghai Jiaotong University, Shanghai 200240, P. R. China
Heath-Jarrow-Morton(HJM),forward martingale measure method, bond futures options.
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