@Article{IJNAM-1-203, author = {Yang , Hongtao}, title = {American Put Options on Zero-Coupon Bonds and a Parabolic Free Boundary Problem}, journal = {International Journal of Numerical Analysis and Modeling}, year = {2004}, volume = {1}, number = {2}, pages = {203--215}, abstract = {

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.

}, issn = {2617-8710}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/ijnam/975.html} }