Primal-dual active set method for evaluating American put options on zero-coupon bonds-Reference-Cited by-同舟云学术

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Primal-dual active set method for evaluating American put options on zero-coupon bonds

Published:2024-04-29 Issue:4 Volume:43 Page:
ISSN:2238-3603
Container-title:Computational and Applied Mathematics
language:en
Short-container-title:Comp. Appl. Math.

Author:

Zhang Qi,Wang Qi,Song Haiming^ORCID,Hao Yongle

Funder

Education department project of Liaoning Province

Education department project of Jilin Province

National Natural Science Foundation of China

Publisher

Springer Science and Business Media LLC

Link

https://link.springer.com/content/pdf/10.1007/s40314-024-02729-z.pdf

Reference27 articles.

1. Allegretto W, Lin Y, Yang H (2003) Numerical pricing of American put options on zero-coupon bonds. Appl Numer Math 46:113–134. https://doi.org/10.1016/S0168-9274(03)00034-5

2. Babbel DF, Merrill C, Zacharias J (1996) Teaching interest rate contingent claims pricing. J Financ Educ 22:41–59. https://doi.org/10.2307/41948223

3. Bergounioux M, Ito K, Kunisch K (1999) Primal-dual strategy for constrained optimal control problem. Siam J Control Optim 37:1176–1194. https://doi.org/10.1137/S0363012997328609

4. Black F, Karasinski P (1991) Bond and option pricing when short rates are lognormal. Financ Anal J 47:52–59. https://doi.org/10.2469/faj.v47.n4.52

5. Chesney M, Elliott RJ, Gibson R (1993) Analytical solutions for the pricing of American bond and yield options. Math Financ 3:277–294. https://doi.org/10.1111/j.1467-9965.1993.tb00045.x

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