Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
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Publication:1040023
DOI10.1155/2009/215163zbMath1175.91073OpenAlexW2016653036WikidataQ58646823 ScholiaQ58646823MaRDI QIDQ1040023
Guoan Huang, Guohe Deng, Li-Hong Huang
Publication date: 23 November 2009
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/224523
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Cites Work
- Numerical pricing of American put options on zero-coupon bonds.
- Pricing American interest rate option on zero-coupon bond numerically
- A dynamic programming approach to price installment options
- Valuation of American continuous-installment options
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Changes of numéraire, changes of probability measure and option pricing
- An equilibrium characterization of the term structure
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