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| Author: | Black, F. Derman, E. Toy, W. |
| Title: | A one-factor model of interest rates and its application to treasury bond options. |
| Journal: | Financial Analysts' Journal
1990 : JAN/FEB, VOL. 46:1, p. 33-39 |
| Index terms: | INTEREST RATES BONDS OPTIONS MODELS |
| Language: | eng |
| Abstract: | Description of a one-factor model of interest rates to value interest-rate- -sensitive security and how it works in valuing options on Treasury bonds. 3 key features of the model. Getting today's prices from future prices. Short rates from the term structure. Short rates one period in the future. Distant short rates. Valuing options on Treasury bonds. Coupon bonds as collections of zeroes. Puts and calls on Treasuries. Option hedge ratios. Reducing the interval size. Improving the model. Nine Figures illustrate the study. |
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