A direct LU solver for pricing American bond options under Hull-White model

DOI10.1016/J.CAM.2016.05.003MaRDI QIDQ313650zbMATH OpenOpenAlexFDO

Authors Ll. Navarro, Carlos Vázquez, Antonio Falcó

Publication date 12 September 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.05.003

zbMATH Keywords

interest rate modelslinear complementarity problemCrank-Nicolson methodAmerican bond optionsLU decomposition

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Interest rate models -- theory and practice. With smile, inflation and credit
• Interest rate models: an introduction
• Minimal realizations in interest rate models
• Paris-Princeton lectures on mathematical finance 2003.
• Pricing American options using LU decomposition
• Pricing interest-rate-derivative securities
• Term-structure models. A graduate course
• Tools for computational finance.

Cited in

(5)

• Analyzing short-rate models for efficient bond option pricing: a review
• Editorial: Mathematical modeling and computational methods
• A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
• An artificial boundary method for the Hull-White model of American interest rate derivatives
• On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options

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