Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model

الملخص EN

The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model.

In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived.

A numerical method is used to approximate the optimal stopping and exercise boundaries by quadrature formulas.

Numerical results and discussions are provided.