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Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model
Work
Year: 2009
Type: article
Abstract: The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim's equations under a single factor model of the short-term interest rate, which follows the famo... more
Source: Journal of Applied Mathematics and Decision Sciences
Authors Guoan Huang, Guohe Deng, Lihong Huang
Institutions Guilin University of Aerospace Technology, Guangxi Normal University, Hunan University
Cites: 17
Cited by: 4
Related to: 10
FWCI: 0.264
Citation percentile (by year/subfield): 71.46
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: hybrid
Funders National Natural Science Foundation of China, National Natural Science Foundation of China
Grant IDS 40675023, 0991091