Pricing Exotic Bond Future Option Under Two-Factor HJM Model

In this paper, we consider the forward rate on valuing contingent claims with the assumption of complete market. Under the frame of HJM model, firstly we consider the problem of pricing exotic bond future option, which the term structure of forward rates by two independent Brownian Motion. According to the risk neutral pricing theory, wielding martingale method of stochastic analysis. Then we consider the term structure of forward rates driven by two relevance Brownian Motion, and obtain the pricing formula of bond future option. Finally, we obtain the pricing formula of reset future option and compound future option by two relevance Brownian Motion.The article is organized as follows:Chapter 1 contains the background, preliminary knowledge and the structure frame of this paper.Chapter 2 is the pricing of exotic bond future option, which contains the pricing formula of reset bond future option and compound bond future.Chapter 3 is the pricing of bond future option, which the term structure of forward rates driven by two relevance Brownian Motion.Chapter 4 is the pricing of exotic bond future option, which the term structure of forward rates driven by two relevance Brownian Motion.