𝔖 Bobbio Scriptorium
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ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS

✍ Scribed by Marc Chesney; Robert J. Elliott; Rajna Gibson

Book ID
111042954
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
884 KB
Volume
3
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES

Richardson extrapolation techniques for
Richardson extrapolation techniques for the pricing of American-style options
✍ Chuang-Chang Chang; San-Lin Chung; Richard C. Stapleton πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 380 KB

## Abstract In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American opt

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American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a

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✍ Qiang Liu; Shuxin Guo πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 123 KB

In this study, a new approach to pricing American options is proposed and termed the canonical implied binomial (CIB) tree method. CIB takes advantage of both canonical valuation (Stutzer, 1996) and the implied binomial tree method (Rubinstein, 1994). Using simulated returns from geometric Brownian