Pricing American put option on zero-coupon bond in a jump-extended CIR model
From MaRDI portal
Publication:907607
DOI10.1016/j.cnsns.2014.10.003zbMath1329.91129OpenAlexW1996818761MaRDI QIDQ907607
Publication date: 26 January 2016
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2014.10.003
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Optimal exercise boundary via intermediate function with jump risk ⋮ Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
Cites Work
- Unnamed Item
- Discrete-time bond and option pricing for jump-diffusion processes
- American bond option pricing in one-factor dynamic term structure models
- American option valuation under stochastic interest rates
- Pricing of path-dependent American options by Monte Carlo simulation
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
- Numerical pricing of American put options on zero-coupon bonds.
- The surprise element: Jumps in interest rates.
- Pricing American interest rate option on zero-coupon bond numerically
- A Theory of the Term Structure of Interest Rates
- Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates*
- Stochastic Simulation Method for the Term Structure Models with Jump
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS1
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
This page was built for publication: Pricing American put option on zero-coupon bond in a jump-extended CIR model
