Option Pricing Methods

                                                                                                       Last update on December 26th, 2012
 

Bond Option Pricing using G2++ (Two-Factor Short-Rate Model)

Click here in order to get more information about this model (P.35).


Enter your parameters 
Maturity of underlying bond (year):
Maturity of bond option (year):
Strike of bond option (0,3 for 30%):
Continuous compounding Interest Rate (0,05 for 5%):
Model coefficient K1:
Model coefficient K2:
Volatility 1 (0,1 for 10%):
Volatility 2 (0,2 for 20%):
Correlation (value between -1 and 1):
Option :

                                     Value
Price :