TY - JOUR
T1 - American Put Options on Zero-Coupon Bonds and a Parabolic Free Boundary Problem
AU - Yang , Hongtao
JO - International Journal of Numerical Analysis and Modeling
VL - 2
SP - 203
EP - 215
PY - 2004
DA - 2004/01
SN - 1
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/ijnam/975.html
KW - American put option, zero-coupon bond, optimal exercise boundary, free boundary problem, uniqueness, existence.
AB - <p style="text-align: justify;">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.</p>