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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models

Repplinger, Detlef (contributor); Fandel, G. (contributor); … - 2008

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...