کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7155578 | 1462623 | 2015 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing American put option on zero-coupon bond in a jump-extended CIR model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی مکانیک
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper presents a jump extension to the CIR model of the short interest rate with exponential distribution jumps. We derive an approximated price of an American put option on a defaultable-free, zero-coupon bond using the two-GJ approach based on combining an European put option and a Bermudan option with two possible exercise dates. Closed-form solutions for both the European put option and the Bermudan option are obtained by using multivariate Fourier transforms and characteristic functions. The accuracy and efficiency of the approximation are examined using the least-square Monte Carlo simulation as the benchmarks. Finally several numerical examples illustrating the results have been presented and the prices have been compared to the corresponding prices for American option in the pure diffusion model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 22, Issues 1â3, May 2015, Pages 186-196
Journal: Communications in Nonlinear Science and Numerical Simulation - Volume 22, Issues 1â3, May 2015, Pages 186-196
نویسندگان
Guohe Deng,