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

摘要：

The valuation for an American continuous-installment put option on zero coupon bond is considered by Kims equations under a single factor 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 are provided.

关键词： Bond option Installment option American option Vasicek model

作者: Guohe Deng Lihong Huang

作者单位: College of Mathematics and Econometrics,Hunan University,Changsha 410082 School of Mathematical Scie School of Mathematical Science,Guangxi Normal University,Guilin 541004,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 334-340

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）