A direct LU solver for pricing American bond options under Hull-White model

DOI10.1016/j.cam.2016.05.003zbMath1410.91483OpenAlexW2408293154MaRDI QIDQ313650

Ll. Navarro, Carlos Vázquez, Antonio Falcó

Publication date: 12 September 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.05.003

zbMATH Keywords

linear complementarity problemCrank-Nicolson methodinterest rate modelsLU decompositionAmerican bond options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items (2)

A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model ⋮ Editorial: Mathematical modeling and computational methods

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
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• Paris-Princeton lectures on mathematical finance 2003.
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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• Tools for computational finance.

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