Closed-form solutions for pricing credit-risky bonds and bond options
β Scribed by Leonard Tchuindjo
- Book ID
- 108051984
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 230 KB
- Volume
- 217
- Category
- Article
- ISSN
- 0096-3003
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Pesante, and Catherine Shalen for helpful discussions. I am also grateful to two anonymous referees for valuable comments. 'The price of an American option is the solution of a free boundary problem. In most, if not all, cases these solutions are determined numerically. 'Jamshidian (1989) and Rabi
## Abstract By approximating the distribution of the sum of correlated lognormals with some logβextendedβskewβnormal distribution, we present closedβform approximation formulae for pricing both Asian and basket options. Numerical comparison shows that our formulae provide both computational simplic
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