A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model

DOI10.1002/mma.7505OpenAlexW3172439344MaRDI QIDQ6180325

Unnamed Author, Vera N. Egorova, Rafael Company, Lucas Jodar

Publication date: 19 December 2023

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.7505

zbMATH Keywords

finite difference methodAmerican option pricingnumerical simulationszero-coupon bondfront-fixing method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Numerical pricing of American put options on zero-coupon bonds.
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• A front-fixing finite element method for the valuation of American options with regime switching
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Heat conduction in a melting solid

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