Delta for CIR Bond Options
Posted: June 3rd, 2008, 1:14 pm
I've tried to calculate the Delta for a bond option in a CIR framework. Suspect it isn't possible, or there is a possible series solution approximation (the spot rate forms part of the argument to the modified Bessel function and there appears to be no analytic derivative to this special function).If anybody knows any differently I'd welcome help and/or a solution.Thanks,John