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A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model

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A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model

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Company Rossi, R.; Egorova, VN.; Jódar Sánchez, LA.; Peris, J. (2022). A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model. Mathematical Methods in the Applied Sciences. 45(6):3334-3344. https://doi.org/10.1002/mma.7505

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/192129

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Title: A front-fixing method for American option pricing on zero-coupon bond under the Hull and White model
Author: Company Rossi, Rafael Egorova, Vera N. Jódar Sánchez, Lucas Antonio Peris, Jorge
UPV Unit: Universitat Politècnica de València. Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos - Escola Tècnica Superior d'Enginyers de Camins, Canals i Ports
Universitat Politècnica de València. Facultad de Administración y Dirección de Empresas - Facultat d'Administració i Direcció d'Empreses
Issued date:
Abstract:
[EN] A new efficient numerical method is proposed for valuation of American option on zero-coupon bond using Hull and White model. By applying the front-fixing transformation suggested by Holmes and Yang, the original free ...[+]
Subjects: American option pricing , Finite difference method , Front-fixing method , Numerical simulations , Zero-coupon bond
Copyrigths: Reconocimiento - No comercial (by-nc)
Source:
Mathematical Methods in the Applied Sciences. (issn: 0170-4214 )
DOI: 10.1002/mma.7505
Publisher:
John Wiley & Sons
Publisher version: https://doi.org/10.1002/mma.7505
Project ID:
info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/
Thanks:
Ministerio de Ciencia e Innovacion, Grant/Award Number: MTM2017-89664-P
Type: Artículo

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