Numerical pricing of American put options on zero-coupon bonds.

DOI10.1016/S0168-9274(03)00034-5zbMath1057.91039MaRDI QIDQ1398678

Walter Allegretto, Hongtao Yang, Yan Ping Lin

Publication date: 7 August 2003

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

stability and convergencenumerical evaluation

Mathematics Subject Classification ID

Related Items (11)

A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES ⋮ Pricing American interest rate option on zero-coupon bond numerically ⋮ Numerical pricing of financial derivatives using Jain's high-order compact scheme ⋮ Numerical pricing of American put options on zero-coupon bonds. ⋮ A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model ⋮ Pricing American put option on zero-coupon bond in a jump-extended CIR model ⋮ Pricing American bond options using a penalty method ⋮ Applying a power penalty method to numerically pricing American bond options ⋮ Evaluating American put options on zero-coupon bonds by a penalty method ⋮ Valuation for an American continuous-installment put option on bond under Vasicek interest rate model ⋮ Unnamed Item

Cites Work

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• An upwind approach for an American and European option pricing model
• Numerical pricing of American put options on zero-coupon bonds.
• A finite volume approach for contingent claims valuation
• A Theory of the Term Structure of Interest Rates
• Optimal Stopping and the American Put
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
• Pricing Interest-Rate-Derivative Securities

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