Study on European put option pricing with underlying asset zero-coupon bond and interest rate following the Vasicek model with jump
نویسندگان
چکیده
منابع مشابه
Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model
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 famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optim...
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ژورنال
عنوان ژورنال: Journal of Physics: Conference Series
سال: 2021
ISSN: 1742-6588,1742-6596
DOI: 10.1088/1742-6596/1725/1/012092