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ZENODO
Presentation . 2023
License: CC BY
Data sources: Datacite
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ZENODO
Presentation . 2023
License: CC BY
Data sources: Datacite
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Bond Futures Option

descriptionPublicationkeyboard_double_arrow_right Presentation 27 Feb 2023 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7682024 , 10.5281/zenodo.7682025

Bond Futures Option

Abstract

We present a pricing model for bond futures option. Assuming that the bond futures price at the maturity of the option is lognormal, the model adopts the Black’s analytical closed-form solution. The futures price is taken directly from the market instead of being calculated from the bond futures calculator.

https://ia904700.us.archive.org/33/items/local-vol-greek/LocalVolGreek.pdf

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Bond Futures Option

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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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