ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1

DOI10.1111/J.1467-9965.1993.TB00045.XMaRDI QIDQ4372015zbMATH OpenOpenAlexFDO

Authors Marc Chesney, Robert J. Elliott, Rajna Gibson

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00045.x

zbMATH Keywords

early exercise premiumoptimal stoppingBessel processesterm structure of interest ratesAmerican bond optionfree boundary approachyield option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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• A decomposition of Bessel Bridges
• A theory of the term structure of interest rates
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Bond, futures and option evaluation in the quadratic interest rate model
• Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region
• On the pricing of American options
• Optimization Problems in the Theory of Continuous Trading

Cited in

(17)

• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• Pricing American put options on defaultable bonds
• Primal-dual active set method for evaluating American put options on zero-coupon bonds
• Evaluating American put options on zero-coupon bonds by a penalty method
• Numerical pricing of American put options on zero-coupon bonds.
• ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS
• Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
• Prepayment option of a perpetual corporate loan: the impact of the funding costs
• A simple class of square-root interest-rate models
• Saddlepoint approximations to option price in a general equilibrium model
• Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• Valuation of the prepayment option of a perpetual corporate loan
• A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES
• American bond option pricing in one-factor dynamic term structure models
• Numerical pricing of financial derivatives using Jain's high-order compact scheme
• A preference free partial differential equation for the term structure of interest rates

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