Pricing American interest rate option on zero-coupon bond numerically

DOI10.1016/J.AMC.2005.08.008MaRDI QIDQ2369207zbMATH OpenOpenAlexFDO

Authors Shujin Li, Shenghong Li

Publication date 28 April 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.08.008

zbMATH Keywords

American bond optionsFinite volume methodInterest rate contingent claimZero-coupon bonds

Mathematics Subject Classification ID

Recommendations

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Cites work

• A theory of the term structure of interest rates
• An integral representation and computation for the solution of American options
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Numerical pricing of American put options on zero-coupon bonds.

Cited in

(14)

• Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
• Numerical pricing of American put options on zero-coupon bonds.
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• Pricing European options on zero-coupon bonds with a fitted finite volume method
• scientific article; zbMATH DE number 2163372 (Why is no real title available?)
• A robust spectral method for pricing of American put options on zero-coupon bonds
• Evaluating American put options on zero-coupon bonds by a penalty method
• A pricing model for American options with Gaussian interest rates
• A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
• On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
• Primal-dual active set method for evaluating American put options on zero-coupon bonds
• Unconditionally stable numerical pricing of American bond options via the Hull-White model
• Pricing American put option on zero-coupon bond in a jump-extended CIR model

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