American bond option pricing in one-factor dynamic term structure models

DOI10.1007/BF01531144zbMath1274.91424OpenAlexW3124917058MaRDI QIDQ375259

Peter Løchte Jørgensen

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01531144

zbMATH Keywords

term structure of interest ratesAmerican bond optionsnumerical work

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Pricing American put option on zero-coupon bond in a jump-extended CIR model

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• The pricing of the American option
• 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
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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