Some Bond Future Options Pricing Under HJM Model

As the financial market's perfect development,the option pricing has became one core of financial mathematical research. Recently,in addition to known European options and American options,there appears many new options which are changed,constituted,derived by vanilla options in international market.The continuous strike call options are new options that the strike start from a single-point price K,and the above price of K are all strikes,at the expiration date compute it delivery flows according to the prices of object asset. The continuous strike range call options are that the strike is limited in a range.Its pricing can be obtained by subtract of two continuous strike call options.In this paper,under the HJM framework,we first studies the problem of pricing the two kinds of continuous strike call options,of which the object asset are bond futures.Then under the extended HJM risk-neutral drift framework,we consider the term structure of forward rates driven by two correlated Brown Motion,and give the pricing formula of zero-coupon bonds.This paper is divided into four chapters. Chapter one,we give the option pricing theory,forward rate model and the main work of this paper.Chapter two, we list the random analysis theory fundamental knowledge for this paper.Chapter three,under the HJM framework,we gives expressions for the price of the continuous stike call options and the continuous strike range call options by applying the forward martingale measure method.Chapter four, we consider the term structure of forward rates driven by two correlated Brown Motion,under the extended HJM risk-neutral drift framework,we give the pricing formula of zero-coupon bonds.