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 Unpublished paper.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 ...

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