American Put Options on Zero-coupon Bonds and a Parabolic Free Boundary Problem
نویسنده
چکیده
In this paper we study American put options on zero-coupon bonds under the CIR model of short interest rates. The uniqueness of the optimal exercise boundary and the solution existence and uniqueness of a degenerate parabolic free boundary problem are established. Numerical examples are also presented to confirm theoretical results.
منابع مشابه
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تاریخ انتشار 2004