Valuation for an American continuous-installment put option on bond under Vasicek interest rate model (Q1040023)
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scientific article; zbMATH DE number 5637289
| Language | Label | Description | Also known as |
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| English | Valuation for an American continuous-installment put option on bond under Vasicek interest rate model |
scientific article; zbMATH DE number 5637289 |
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Valuation for an American continuous-installment put option on bond under Vasicek interest rate model (English)
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23 November 2009
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Summary: The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optimal stopping and exercise boundaries by quadrature formulas. Numerical results and discussions are provided.
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