American option pricing in Gauss-Markov interest rate models

被引：1
|
作者：
Galluccio, S [1 ]
机构：
[1] Paribas, FIRST Fixed Income Res, London, England
来源：
PHYSICA A | 1999年 / 269卷 / 01期
关键词：
option pricing theory; stochastic processes; optimal stochastic control;
D O I：
10.1016/S0378-4371(99)00080-1
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In the context of Gaussian non-homogeneous interest-rate models, we study the problem of American bond option pricing. In particular, we show how to efficiently compute the exercise boundary in these models in order to decompose the price as a sum of a European option and an American premium. Generalizations to coupon-bearing bonds and jump-diffusion processes for the interest rates are also discussed. (C) 1999 Published by Elsevier Science B.V. All rights reserved.
引用
收藏
页码：61 / 71
页数：11
相关论文
共 50 条
12345