ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
DOI10.1111/J.1467-9965.1993.TB00045.XzbMATH Open0884.90019OpenAlexW1980798056MaRDI QIDQ4372015FDOQ4372015
Robert J. Elliott, Marc Chesney, 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
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early exercise premiumoptimal stoppingBessel processesterm structure of interest ratesAmerican bond optionfree boundary approachyield option
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Cites Work
- A theory of the term structure of interest rates
- Title not available (Why is that?)
- An equilibrium characterization of the term structure
- Title not available (Why is that?)
- On the pricing of American options
- An Intertemporal General Equilibrium Model of Asset Prices
- Title not available (Why is that?)
- Optimization Problems in the Theory of Continuous Trading
- A decomposition of Bessel Bridges
- Bond, futures and option evaluation in the quadratic interest rate model
- Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region
Cited In (16)
- 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
- Pricing American put options on defaultable 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
- A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES
- Valuation of the prepayment option of a perpetual corporate loan
- 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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