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This chapter explores advanced methodologies for modeling interest rate dynamics and valuing fixed-income securities and their derivatives. We begin with the Vasicek single-factor model, a foundational framework for describing the stochastic evolution of interest rates and deriving the corresponding yield curve. We then extend these concepts to option pricing, applying both the Black–Scholes framework for European put options on coupon bonds and the Black (1976) model for options on bond futures.

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Vasicek, Black–Scholes, and Black (1976) Models for Option Pricing and Bond Valuation with QuantLib

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  • 发表日期：

    2025年

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  • Aaron De La Rosa

摘要

This chapter explores advanced methodologies for modeling interest rate dynamics and valuing fixed-income securities and their derivatives. We begin with the Vasicek single-factor model, a foundational framework for describing the stochastic evolution of interest rates and deriving the corresponding yield curve. We then extend these concepts to option pricing, applying both the Black–Scholes framework for European put options on coupon bonds and the Black (1976) model for options on bond futures.