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Pricing American bond options using a penalty method · Study

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ArticlePricing American bond options using a penalty method

Kai Zhang2012

Article2012

Pricing American bond options using a penalty method

Kai Zhang · Song Wang

37 citations·0/0 files stored·Automatica

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Differential Equations and Numerical Methods

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References

1985A Theory of the Term Structure of Interest Rates 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1977Inequalities in Mechanics and Physics 1991Bond and Option Pricing when Short Rates are Lognormal 2008Mathematical Models of Financial Derivatives 1977THE VALUATION OF AMERICAN PUT OPTIONS 2006Paul Wilmott on Quantitative Finance

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2013Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme 2014A finite difference method for pricing European and American options under a geometric Lévy process

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2008A Front-Fixing Finite Element Method for the Valuation of American Optionsarticle · 6 shared references 2009A computational scheme for uncertain volatility model in option pricingarticle · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 5 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 5 shared references 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontierarticle · 5 shared references 2012Finite-Element Methodschapter · 5 shared references

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Year2012

Typearticle

Published2012-02-11

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.automatica.2012.01.009

openalex_workW2043375786

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