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