Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
type: Item
instance of: scholarly article
title: Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
zbMATH Open document ID: 1175.91073
DOI: 10.1155/2009/215163
author: Guoan Huang
author: Guohe Deng
author: Lihong Huang
published in: Journal of Applied Mathematics and Decision Sciences
publication date: 2009-11-23T00:00:00Z
full work available at URL: https://eudml.org/doc/224523
review text: Summary: The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optimal stopping and exercise boundaries by quadrature formulas. Numerical results and discussions are provided.
Mathematics Subject Classification ID: 91B25
zbMATH DE Number: 5637289
Wikidata QID: Q58646823
MaRDI profile type: Publication
OpenAlex ID: W2016653036
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description: scientific article; zbMATH DE number 5637289