Pricing American interest rate option on zero-coupon bond numerically
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Publication:2369207
DOI10.1016/j.amc.2005.08.008zbMath1137.91460MaRDI QIDQ2369207
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
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Evaluating American put options on zero-coupon bonds by a penalty method, Pricing American put option on zero-coupon bond in a jump-extended CIR model, Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
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