ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS

DOI10.1142/S0219024905003384zbMath1117.91032MaRDI QIDQ5493849

Junwu Gan

Publication date: 16 October 2006

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

zbMATH Keywords

American optioncritical boundaryearly exercise premiumanalytic backward inductionMarkovian interest rate model

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

An almost Markovian LIBOR market model calibrated to caps and swaptions

Cites Work

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• The Pricing of Options and Corporate Liabilities
• LIBOR and swap market models and measures
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• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• WHEN IS THE SHORT RATE MARKOVIAN?
• Volatility skews and extensions of the Libor market model
• Option pricing: A simplified approach

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