| dc.date.accessioned | 2013-12-12T11:51:10Z | |
| dc.date.issued | 2013 | en_US |
| dc.date.submitted | 2013-05-30 | en_US |
| dc.identifier.citation | Skåre, Kjersti Rekdal. A Zero-Coupon Bond based Spread Option. Masteroppgave, University of Oslo, 2013 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/37720 | |
| dc.description.abstract | In this thesis we derive the price of a spread option based on two zero-coupon bonds. The two bonds will represent di erent nancial markets, and the HJM framework is used as the model for the underlying forward rates. We evaluate the resulting pricing formula with respect to the correlation between, and the volatility of, these forward rates and reflect on its ability to properly model such derivatives. | eng |
| dc.language.iso | eng | en_US |
| dc.title | A Zero-Coupon Bond based Spread Option : An Application of the Heath-Jarrow-Morton Model | en_US |
| dc.type | Master thesis | en_US |
| dc.date.updated | 2013-12-10 | en_US |
| dc.creator.author | Skåre, Kjersti Rekdal | en_US |
| dc.date.embargoenddate | 10000-01-01 | |
| dc.rights.terms | Dette dokumentet er ikke elektronisk tilgjengelig etter ønske fra forfatter. Tilgangskode/Access code A | en_US |
| dc.rights.terms | forever | en_US |
| dc.subject.nsi | VDP::412 | en_US |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Skåre, Kjersti Rekdal&rft.title=A Zero-Coupon Bond based Spread Option&rft.inst=University of Oslo&rft.date=2013&rft.degree=Masteroppgave | en_US |
| dc.identifier.urn | URN:NBN:no-39744 | |
| dc.type.document | Masteroppgave | en_US |
| dc.identifier.duo | 181784 | en_US |
| dc.contributor.supervisor | Fred Espen Benth | en_US |
| dc.rights.accessrights | closedaccess | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/37720/2/Skaare-Master.pdf | |