scientific article; zbMATH DE number 6769072

MaRDI QIDQ5354441zbMATH OpenFDO

Authors G. Alobaidi, R. Mallier

Publication date 4 September 2017

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zbMATH Keywords

American optionsbond optionsfree boundaryVasicek model

Mathematics Subject Classification ID

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

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(10)

• A dynamic programming approach for pricing options embedded in bonds
• Valuation for an American continuous-installment put option on bond under Vasicek interest rate model
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• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
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