Bond Options

Discussion in 'Options' started by jdi, Sep 15, 2006.

  1. jdi

    jdi

    Anybody know which model commonly used by the market to value bond options: vasicek, CIR, Ho-lee, etc etc etc?
    Just bought a C++ book on bond options. So many models to pick. The easiest one is the mean reverting Vasicek Model. Also, this model has a closed form solution.
    But C++ is a bear, too time consuming to develop/modify a program . I'll use Matlab instead.