]>Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model : Table 2
Table 2: Initial premium of option on bond.
𝑟 0 European put optionAmerican CI put option
𝑞 = 1 𝑞 = 1 0 𝑞 = 3 0
0.040.07820.4409 0.3766 0.0893
0.10 0.2193 0.5928 0.4432 0.2296
0.15 0.30570.6556 0.4953 0.3258