Numerical pricing of American put options on zero-coupon bonds

Author:

Allegretto Walter,Lin Yanping,Yang Hongtao

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis

Reference26 articles.

1. A new approach to check the free boundary of single factor interest rate put option;Allegretto;Finance,1999

2. Finite element error estimate for a nonlocal problem in American option valuation;Allegretto;SIAM J. Numer. Anal.,2001

3. A new formulation for the valuation of American options, I: Solution uniqueness & II: Solution existence;Badea,2000

4. G. Barone-Adesi, W. Allegretto, E. Dinenis, G. Sorwar, Valuation of single-factor default-free bonds and contingent claims, Preprint

5. Variational and Quasivariational Inequalities;Baiocchi,1984

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