Convergence analysis of power penalty method for American bond option pricing
This paper is concerned with the convergence analysis of power penalty method to pricing American options on discount bond, where the single factor Cox–Ingrosll–Ross model is adopted for the short interest rate. The valuation of American bond option is usually formulated as a partial differential co...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Springer
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/8052 |