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- W4384692733 abstract "This study presents a finite difference approach to a pull-to-par model for call and put options on zero-coupon bonds. The original solution was asymptotic and for European styled options on bonds without coupons. As the asymptotic solution is an approximation to the true solution, the finite difference approach provides an easy alternative to estimating the true value. In addition, the finite difference approach presented here easily allows for the addition of coupons and American style pricing. The authors provide error rates versus the original solution and illustrate values for options on bonds with coupons." @default.
- W4384692733 created "2023-07-20" @default.
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- W4384692733 date "2023-07-18" @default.
- W4384692733 modified "2023-10-18" @default.
- W4384692733 title "Option Pricing with Finite Difference using a Pull-to-Par Bond Model" @default.
- W4384692733 doi "https://doi.org/10.3905/jfi.2023.1.163" @default.
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