TY - JOUR
T1 - A Front-Fixing Finite Element Method for the Valuation of American Put Options on Zero-Coupon Bonds
AU - Holmes , A. D.
AU - Yang , H.
JO - International Journal of Numerical Analysis and Modeling
VL - 4
SP - 777
EP - 792
PY - 2012
DA - 2012/09
SN - 9
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/ijnam/658.html
KW - American put option, zero-coupon bond, free boundary problem, front-fixing method, finite element method.
AB - <p style="text-align: justify;">A front-fixing finite element method is developed for the valuation of American put options on zero-coupon bonds under a class of one-factor
models of short interest rates. Numerical results are presented to examine our
method and to compare it with the usual finite element method. A conjecture concerning the behavior of the early exercise boundary near the option
expiration date is proposed according to the numerical results.</p>