标题: OPTIONS ON BONDS [打印本页] 作者: grharmeyer 时间: 2011-7-11 20:04 标题: OPTIONS ON BONDS
I know how to value an option on a bond using backwards induction
But I am wondering, is the method presented in the CFAI curriculum only valid for options on risk free bonds?
Because for a risky bond, to value it at any node in the tree you would need to discount at the rate in the original tree+OAS, while for the payoff of the option you would discount that at the rate without the OAS because you assume a risk nuetral portfolio...
Ugh, I might just be burning out, this was never a problem the first 400 times I read the curriculum.作者: RepoToronto 时间: 2011-7-11 20:04
400 times? doubtful. You're thinking too hard. Just do what they say to do.
