Pricing European and American bond options under the Hull-White extended Vasicek Model

Pricing European and American bond options under the Hull-White extended Vasicek Model

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In this dissertation, we consider the Hull-White term structure problem with the boundary value condition given as the payoff of a European bond option. We restrict ourselves to the case where the parameters of the Hull-White model are strictly positive constants and from the risk neutral valuation...

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Bibliographic Details
Main Author: Mpanda, Marc Mukendi
Other Authors: Rapoo, E.M.
Format: Others
Language:en
Published: 2014
Subjects:
Term structure equation
Hull-White extended Vasicek model
European and American bond option
Diffusion equation
Artificial Boundary method
Coupon bearing and zero-coupon bond option
Finite Difference Methods and Artificial Boundary method
332.6323
Bonds > Prices > United States > Mathematical models
Bonds > Prices > Europe > Mathematical models
Online Access:Mpanda, Marc Mukendi (2013) Pricing European and American bond options under the Hull-White extended Vasicek Model, University of South Africa, Pretoria, <http://hdl.handle.net/10500/13346>
http://hdl.handle.net/10500/13346

Internet

Mpanda, Marc Mukendi (2013) Pricing European and American bond options under the Hull-White extended Vasicek Model, University of South Africa, Pretoria, <http://hdl.handle.net/10500/13346>
http://hdl.handle.net/10500/13346

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