Consider a European call option with strike price X maturing at T on a futures whose underlying

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Consider a European call option with strike price X maturing at T on a futures whose underlying asset is a T’-maturity discount bond. Derive the value of this option under the Gaussian HJM term structure model.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 04, 2023 05:20 AM

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Consider a European call option with strike price X maturing at T on a futures whose underlying

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In the HJM HeathJarrowMorton model the dynamics of the short rate under the riskneutral probability ...View the full answer

Mathematical Models Of Financial Derivative

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