American bond option pricing in one-factor dynamic term structure models
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Publication:375259
DOI10.1007/BF01531144zbMATH Open1274.91424OpenAlexW3124917058MaRDI QIDQ375259FDOQ375259
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531144
Recommendations
- scientific article; zbMATH DE number 6769072
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
- La valutazione del Prezzo di Opzioni Su Titoli a Reddito Fisso in un Modello Stocastico di Equilibrio
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Title not available (Why is that?)
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Title not available (Why is that?)
- The pricing of the American option
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
Cited In (5)
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- Pricing American put option on zero-coupon bond in a jump-extended CIR model
- A dynamic programming approach for pricing options embedded in bonds
- EXPLICIT BOND OPTION FORMULA IN HEATH–JARROW–MORTON ONE FACTOR MODEL
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
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