REFERENCES & ADDITIONAL READING
Berger, Eric, PhD. “Understanding Option-Adjusted Spread Duration.” Bloomberg Magazine, October 1992. A closer look at risk measures in general and OAS duration in particular.
———, and William Gartland, CFA. “The Bloomberg Corporate Bond OAS Model.” Unpublished paper. An in-depth mathematical description of the Bloomberg lognormal model.
Black, Fischer, Emmanuel Dermam, and William Toy. “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options.” Financial Analysts Journal, January-February 1990. A straightforward description of a one-factor interest-rate model.
Black, Fischer, and Piotr Karasinski. “Bond and Option Pricing When Short Rates Are Lognormal.” Financial Analysts Journal, July-August ...
Get Introduction to Option-Adjusted Spread Analysis: Revised and Expanded Third Edition of the OAS Classic by Tom Windas now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
