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Operations Research Models in Quantitative Finance pp 210–234Cite as

Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market

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Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

Abstract

This paper illustrates the results obtained using the Ho-Lee model to estimate the term structure of interest rates in the Italian bond market and to determine the equilibrium value of the Italian Treasury puttable bonds (Certificati del Tesoro con Opzione di Rimborso Anticipato — CTOs).

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Author information

Authors and Affiliations

  1. Dipartimento di Matematica, Statistica, Informatica e Applicazioni, Universita’ di Bergamo, Piazza Rosate,2, 24129, Bergamo, Italy

    Rosella Giacometti & Carmen Nuzzo

Authors
  1. Rosella Giacometti
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  2. Carmen Nuzzo
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Editor information

Editors and Affiliations

  1. Instituto di Scienze Economiche, Università degli Studi di Urbino, via Saffi, 2, I-61029, Urbino (PS), Italiy

    Rita L. D’Ecclesia

  2. The Wharton School, University of Pennsylvania, Philadelphia, PA, 19104, USA

    Stavros A. Zenios

  3. Department of Public and Business Administration, University of Cyprus, Nicosia, Cyprus

    Stavros A. Zenios

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© 1994 Physica-Verlag Heidelberg

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Giacometti, R., Nuzzo, C. (1994). Embedded Option Pricing on Interest-Rate Sensitive Securities in the Italian Market. In: D’Ecclesia, R.L., Zenios, S.A. (eds) Operations Research Models in Quantitative Finance. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-46957-2_11

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  • DOI: https://doi.org/10.1007/978-3-642-46957-2_11

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0803-2

  • Online ISBN: 978-3-642-46957-2

  • eBook Packages: Springer Book Archive

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