Year: 2004
Author: Hongtao Yang
International Journal of Numerical Analysis and Modeling, Vol. 1 (2004), Iss. 2 : pp. 203–215
Abstract
In this paper we study American put options on zero-coupon bonds under the CIR model of short interest rates. The uniqueness of the optimal exercise boundary and the solution existence and uniqueness of a degenerate parabolic free boundary problem are established. Numerical examples are also presented to confirm theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2004-IJNAM-975
International Journal of Numerical Analysis and Modeling, Vol. 1 (2004), Iss. 2 : pp. 203–215
Published online: 2004-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: American put option zero-coupon bond optimal exercise boundary free boundary problem uniqueness existence.