Volume 1, Issue 2
American Put Options on Zero-coupon Bonds and a Parabolic Free Boundary Value Problem

Z. Chen & G. Huan

DOI:

Int. J. Numer. Anal. Mod., 1 (2004), pp. 203-215

Published online: 2004-01

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  • 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.

  • Keywords

American put option zero-coupon bond optimal exercise boundary free boundary problem uniqueness existence

  • AMS Subject Headings

35R35 49J40 60G40

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COPYRIGHT: © Global Science Press

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@Article{IJNAM-1-203, author = {Z. Chen and G. Huan}, title = {American Put Options on Zero-coupon Bonds and a Parabolic Free Boundary Value 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} }
TY - JOUR T1 - American Put Options on Zero-coupon Bonds and a Parabolic Free Boundary Value Problem AU - Z. Chen & G. Huan JO - International Journal of Numerical Analysis and Modeling VL - 2 SP - 203 EP - 215 PY - 2004 DA - 2004/01 SN - 1 DO - http://doi.org/ UR - https://global-sci.org/intro/article_detail/ijnam/975.html KW - American put option KW - zero-coupon bond KW - optimal exercise boundary KW - free boundary problem KW - uniqueness KW - existence AB - 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.
Z. Chen & G. Huan. (1970). American Put Options on Zero-coupon Bonds and a Parabolic Free Boundary Value Problem. International Journal of Numerical Analysis and Modeling. 1 (2). 203-215. doi:
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