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, 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. Bankers, Markets and Investors, pp. 3-10.