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ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS (1993)

Chesney, Marc ; Elliott, Robert J. ; Gibson, Rajna

Oxford, UK : Blackwell Publishing Ltd

Mathematical finance 3 (1993), S. 0

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ISSN: 1467-9965

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Mathematics , Economics

Notes: In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi-analytical solution for American yield option prices which illustrates the flexibility of our framework.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00045.x

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