Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model
Joint Authors
Deng, Guohe
Huang, Guoan
Huang, Lihong
Source
Journal of Applied Mathematics and Decision Sciences
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-06-07
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract 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.
American Psychological Association (APA)
Huang, Guoan& Deng, Guohe& Huang, Lihong. 2009. Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model. Journal of Applied Mathematics and Decision Sciences،Vol. 2009, no. 2009, pp.1-11.
https://search.emarefa.net/detail/BIM-455187
Modern Language Association (MLA)
Huang, Guoan…[et al.]. Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model. Journal of Applied Mathematics and Decision Sciences No. 2009 (2009), pp.1-11.
https://search.emarefa.net/detail/BIM-455187
American Medical Association (AMA)
Huang, Guoan& Deng, Guohe& Huang, Lihong. Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model. Journal of Applied Mathematics and Decision Sciences. 2009. Vol. 2009, no. 2009, pp.1-11.
https://search.emarefa.net/detail/BIM-455187
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-455187
