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American Put Options on Zero-Coupon Bonds and a Parabolic Free Boundary Problem
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@Article{IJNAM-1-203,
author = {Yang , Hongtao},
title = {American Put Options on Zero-Coupon Bonds and a Parabolic Free Boundary Problem},
journal = {International Journal of Numerical Analysis and Modeling},
year = {2004},
volume = {1},
number = {2},
pages = {203--215},
abstract = {
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.
}, issn = {2617-8710}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/ijnam/975.html} }
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 -
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.
Yang , Hongtao. (2004). American Put Options on Zero-Coupon Bonds and a Parabolic Free Boundary Problem.
International Journal of Numerical Analysis and Modeling. 1 (2).
203-215.
doi:
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