Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
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.
- Pricing American interest rate option on zero-coupon bond numerically
- scientific article; zbMATH DE number 6769072
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Valuation of American continuous-installment options
- scientific article; zbMATH DE number 6164554
- A dynamic programming approach to price installment options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An equilibrium characterization of the term structure
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
- Changes of numéraire, changes of probability measure and option pricing
- Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
- Numerical pricing of American put options on zero-coupon bonds.
- Optimal Stopping and the American Put
- Pricing American interest rate option on zero-coupon bond numerically
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Valuation of American continuous-installment options
This page was built for publication: Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1040023)
