scientific article; zbMATH DE number 2163372

MaRDI QIDQ4672209zbMATH OpenFDO

Authors Hongtao Yang

Publication date 29 April 2005

zbMATH Keywords

American put optionfree boundary problemoptimal exercise boundaryoptimal stopping problemzero-coupon bond

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(10)

• Applying a power penalty method to numerically pricing American bond options
• American option model and negative Fichera function on degenerate boundary
• Convergence analysis of power penalty method for American bond option pricing
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
• An American convert close to maturity
• Pricing American bond options using a penalty method
• On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy
• Pricing American put option on zero-coupon bond in a jump-extended CIR model

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