A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model
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DOI: 10.1002/mma.7505
Abstract: A new efficient numerical method is proposed for valuation of American option on zero‐coupon bond using Hull and White model. By applying the front‐fixing transformation suggested by Holmes and Yang, the original free boundary problem… read more here.
Keywords: white model; zero coupon; hull white; coupon bond ... See more keywords
Fast and accurate calculation of American option prices
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DOI: 10.1007/s10203-018-0224-1
Abstract: We propose a very efficient numerical method to solve a nonlinear partial differential problem that is encountered in the pricing of American options. In particular, by using the front-fixing approach originally developed in Wu and… read more here.
Keywords: fast accurate; finance; calculation american; option prices ... See more keywords