A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES

DOI10.1142/S021902490700410XzbMath1291.91240MaRDI QIDQ3444862

Hongtao Yang

Publication date: 5 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

finite element methodcalibrationbond optioninhomogeneous affine model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Cites Work

• Numerical pricing of American put options on zero-coupon bonds.
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Calibration of the Extended CIR Model
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