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Valuation For An American Continuous-Installme Nt Put Option On Bond Under Vasicek Interest Rate Model.pdf

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Summary

The valuation for an American continuous-installment put option on a zero-coupon bond is considered under the Vasicek interest rate model. The option's price is derived using Kim's equations, and integral representations of the optimal stopping and exercise boundaries are obtained. A numerical method using quadrature formulas is employed to approximate these boundaries. The paper aims to present an approximation method for pricing American CI put options written on default-free, zero-coupon bonds under the Vasicek model.

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The valuation for an American continuous-installment put option on a zero-coupon bond is considered under the Vasicek interest rate model.

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  • File Format: PDF
  • File Size: 1.89 MB
  • Pages: 12
  • Language: EN
  • Total Downloads: 77
  • Last Updated: 1 month ago

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Valuation guideValuation tutorialAmerican guideAmerican tutorialContinuous-Installme guideContinuous-Installme tutorialOption guideOption tutorialBond guideBond tutorialunder guideunder tutorialVasicek guideVasicek tutorialInterest guideInterest tutorialRate guideRate tutorialModel guideModel tutorial

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