10. The six factors that affect the value of an option on a fixedincome instrument are the...

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10. The six factors that affect the value of an option on a fixedincome instrument are the current price of the underlying security, the strike price, the time to expiration of the option, the expected yield volatility over the life of the option, the short-term risk-free interest rate over the life of the option, and the coupon interest payment over the life of the option.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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