English, Article edition: A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES HONGTAO YANG

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Bookmark: http://trove.nla.gov.au/version/83132
Physical Description
  • article
Language
  • English

Edition details

Title
  • A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES
Author
  • HONGTAO YANG
Physical Description
  • article
Notes
  • In this paper we propose a new finite element method for pricing of bond options under time inhomogeneous one-factor affine models of short interest rates: the HullâWhite model and the extended CIR model. The stability and weak convergence are established. Numerical results are presented to examine the method and to compare the calibrated models.
  • Inhomogeneous affine model, calibration, bond option, finite element method
  • RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:31-49
Language
  • English
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