Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model

Maria B. Chiarolla and Tiziano De Angelis

Stochastic Processes and their Applications, 2015, vol. 125, issue 2, 678-707

Abstract: We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in Musiela’s parametrization of the Heath–Jarrow–Morton (HJM) model for forward interest rates.

Keywords: American Put options on a Bond; HJM model; Forward interest rates; Musiela’s parametrization; Optimal stopping; Infinite-dimensional stochastic analysis (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:2:p:678-707

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DOI: 10.1016/j.spa.2014.09.021

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