Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm
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Abstract
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Note: Type of Document - Tex; prepared on IBM PC - BcTex; to print on Any printer; pages: 38; figures: included. There is a C++ program available upon request which calculates American put stock price from analytic expressions for the critical boundary with precision that is only matched by CRR binomial tree with over 100K time steps.
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References listed on IDEAS
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More about this item
Keywords
Interest rate models; American options; Early exercise premium; Crtical boundary; Analytical backward induction; Analytic results; New computational approach.;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
Statistics
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