Pricing the Chicago Board of Trade T-Bond futures

DOI10.1080/14697688.2011.573496zbMath1279.91151OpenAlexW2094732960MaRDI QIDQ5745636

Ramzi Ben-Abdallah, Michèle Breton, Hatem Ben-Ameur

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.573496

zbMATH Keywords

dynamic programmingasset pricingderivative pricing modelsAmerican-style derivative securities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany
• A dynamic programming approach for pricing options embedded in bonds
• Mathematics of financial markets
• Interest Rate Dynamics and Consistent Forward Rate Curves
• A Theory of the Term Structure of Interest Rates
• Pricing the Quality Option In Treasury Bond Futures¹
• Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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