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ANALYTICS OF DURATION AND CONVEXITY FOR BONDS WITH EMBEDDED OPTIONS: THE CASE OF CONVERTIBLES

✍ Scribed by Jamshid Mehran; Ghassem Homaifar


Book ID
111105541
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
314 KB
Volume
20
Category
Article
ISSN
0306-686X

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## Abstract A closed‐form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multifactor and D. Heath, R. Jarrow, and A. Morton (1992) Gaussian framework. Such an analytical solution can be obtained through a conditioning approximation, in the s