A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model (Q6180325)
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scientific article; zbMATH DE number 7780505
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| English | A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model |
scientific article; zbMATH DE number 7780505 |
Statements
A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model (English)
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19 December 2023
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American option pricing
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finite difference method
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front-fixing method
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numerical simulations
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zero-coupon bond
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