A direct LU solver for pricing American bond options under Hull-White model
DOI10.1016/J.CAM.2016.05.003zbMATH Open1410.91483OpenAlexW2408293154MaRDI QIDQ313650FDOQ313650
Antonio Falcó, Ll. Navarro, Carlos Vázquez
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
interest rate modelslinear complementarity problemCrank-Nicolson methodAmerican bond optionsLU decomposition
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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Cited In (5)
- Analyzing short-rate models for efficient bond option pricing: a review
- An artificial boundary method for the Hull-White model of American interest rate derivatives
- 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
- Editorial: Mathematical modeling and computational methods
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