Analytical pricing of european bond options within one-factor quadratic term structure models

Grégoire Leblon and Franck Moraux ()
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Grégoire Leblon: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Keywords: analytical pricing; european bond options; quadratic term structure models (search for similar items in EconPapers)
Date: 2013-05-28
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Published in 30th International French Finance Association conference (AFFI), May 2013, Lyon, France

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Working Paper: Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models (2017)
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