Evaluation des options sur obligations et sur contrats à terme d'obligations

In this article, we evaluate pure discount bonds and European options written on the latter and on forward and futures contracts. Using a particular case of the Heath-Jarrow-Morton model in which the volatility of instantaneous forward rates is constant, but not that of pure discount bond prices, we obtain Black-Scholes like closed-form solutions.

MELLIOS, K. and PONCET, P. (1995). Evaluation des options sur obligations et sur contrats à terme d'obligations. ESSEC Business School.