An Exact Bond Option Formula
在Vasicek均值回复高斯利率模型下，推导出纯贴现债券欧式期权的闭式解，并扩展到贴现债券组合的欧式期权。
ABSTRACT This paper derives a closed‐form solution for European options on pure discount bonds, assuming a mean‐reverting Gaussian interest rate model as in Vasicek [8]. The formula is extended to European options on discount bond portfolios.