Pricing American interest rate option on zero-coupon bond numerically

被引：8

作者：

Li ShuJin ^{[1
]}

Li ShengHong

机构：

[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China

[2] JiangSu Teachers Coll Technol, Changzhou, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2006年 / 175卷 / 01期

关键词：

American bond options; interest rate contingent claim; zero-coupon bonds; finite volume method;

D O I：

10.1016/j.amc.2005.08.008

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, an American put option on zero-coupon bond is priced numerically by finite volume method (FVM) under a single factor model of the short-term rate. In term of the price of zero-coupon bond, an integral representation of the early exercise rate is derived, which can both locate the exercise rate and be viewed as an error indicator. In our numerical results, the prices of zero-coupon bond and American put option are given and the optimal early interest rate is also provided. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：834 / 850

页数：17