Table of Contents Author Guidelines Submit a Manuscript
Journal of Applied Mathematics and Decision Sciences
Volume 2009 (2009), Article ID 215163, 11 pages
http://dx.doi.org/10.1155/2009/215163
Research Article

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

1Department of Computer Science, Guilin College of Aerospace Technology, Guilin 541004, China
2School of Mathematics Science, Guangxi Normal University, Guilin 541004, China
3College of Mathematics and Econometrics, Hunan University, Changsha 410082, China

Received 2 December 2008; Accepted 6 March 2009

Academic Editor: Lean Yu

Copyright © 2009 Guoan Huang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. W. Allegretto, Y. Lin, and H. Yang, “Finite element error estimates for a nonlocal problem in American option valuation,” SIAM Journal on Numerical Analysis, vol. 39, no. 3, pp. 834–857, 2001. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  2. M. Broadie and J. B. Detemple, “Option pricing: valuation models and applications,” Management Science, vol. 50, no. 9, pp. 1145–1177, 2004. View at Publisher · View at Google Scholar
  3. F. Jamshidian, “An analysis of American options,” Review of Futures Markets, vol. 11, no. 1, pp. 72–80, 1992. View at Google Scholar
  4. M. Chesney, R. Elliott, and R. Gibson, “Analytical solutions for the pricing of American bond and yield options,” Mathematical Finance, vol. 3, no. 3, pp. 277–294, 1993. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  5. T. S. Ho, R. C. Stapleton, and M. G. Subrahmanyam, “The valuation of American options on bonds,” Journal of Banking & Finance, vol. 21, no. 11-12, pp. 1487–1513, 1997. View at Publisher · View at Google Scholar
  6. W. Allegretto, Y. Lin, and H. Yang, “Numerical pricing of American put options on zero-coupon bonds,” Applied Numerical Mathematics, vol. 46, no. 2, pp. 113–134, 2003. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  7. L. ShuJin and L. ShengHong, “Pricing American interest rate option on zero-coupon bond numerically,” Applied Mathematics and Computation, vol. 175, no. 1, pp. 834–850, 2006. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  8. I. J. Kim, “The analytic valuation of American options,” Review of Financial Studies, vol. 3, no. 4, pp. 547–572, 1990. View at Publisher · View at Google Scholar
  9. S. D. Jacka, “Optimal stopping and the American put,” Mathematical Finance, vol. 1, no. 1, pp. 1–14, 1991. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  10. P. Carr, R. Jarrow, and R. Myneni, “Alternative characterizations of American put options,” Mathematical Finance, vol. 2, no. 1, pp. 87–106, 1992. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  11. S. Kallast and A. Kivinukk, “Pricing and hedging American options using approximations by Kim integral equations,” European Finance Review, vol. 7, no. 3, pp. 361–383, 2003. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  12. P. Ciurlia and I. Roko, “Valuation of American continuous-installment options,” Computational Economics, vol. 25, no. 1-2, pp. 143–165, 2005. View at Publisher · View at Google Scholar · View at Zentralblatt MATH
  13. H. Ben-Ameur, M. Breton, and P. François, “A dynamic programming approach to price installment options,” European Journal of Operational Research, vol. 169, no. 2, pp. 667–676, 2006. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet
  14. O. Vasicek, “An equilibrium characterization of the term structure,” Journal of Financial Economics, vol. 5, no. 2, pp. 177–188, 1977. View at Publisher · View at Google Scholar
  15. F. Jamshidian, “An exact bond option formula,” The Journal of Finance, vol. 44, no. 1, pp. 205–209, 1989. View at Publisher · View at Google Scholar
  16. H. Geman, N. El Karoui, and J.-C. Rochet, “Changes of numéraire, changes of probability measure and option pricing,” Journal of Applied Probability, vol. 32, no. 2, pp. 443–458, 1995. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet