A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model

DOI10.1002/MMA.7505MaRDI QIDQ6180325zbMATH OpenOpenAlexFDO

Authors R. Company, V. N. Egorova, L. Jódar

Publication date 19 December 2023

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1002/mma.7505

zbMATH Keywords

American option pricingfinite difference methodfront-fixing methodnumerical simulationszero-coupon bond

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

• A direct LU solver for pricing American bond options under Hull-White model
• A front-fixing finite element method for the valuation of American options with regime switching
• An equilibrium characterization of the term structure
• Evaluating American put options on zero-coupon bonds by a penalty method
• Heat conduction in a melting solid
• scientific article; zbMATH DE number 6164554 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• Numerical pricing of American put options on zero-coupon bonds.
• Pricing American bond options using a penalty method
• Pricing American interest rate option on zero-coupon bond numerically
• Pricing interest-rate-derivative securities

Cited in

(7)

• scientific article; zbMATH DE number 6164554 (Why is no real title available?)
• An artificial boundary method for the Hull-White model of American interest rate derivatives
• Primal-dual active set method for evaluating American put options on zero-coupon bonds
• Analyzing short-rate models for efficient bond option pricing: a review
• Unconditionally stable numerical pricing of American bond options via the Hull-White model
• Operator theory of diffusion equations governed by self-similar measures
• Pricing American put option on zero-coupon bond in a jump-extended CIR model

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