Pricing bond options in emerging markets: a case study

DOI10.3934/JDG.2018003zbMath1391.91158OpenAlexW2766478911MaRDI QIDQ1690978

Ernesto Mordecki, Guillermo Magnou, Andrés Sosa

Publication date: 12 January 2018

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jdg.2018003

zbMATH Keywords

Kalman filteremerging marketsVasicek modelbond optionBlack-Derman-Toy model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Term-structure models. A graduate course
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Modelling the Uruguayan Debt Through Gaussians Models
• An equilibrium characterization of the term structure

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