A Front-fixing Finite Element Method for the Valuation of American Put Options on Zero-coupon Bonds
نویسندگان
چکیده
A front-fixing finite element method is developed for the valuation of American put options on zero-coupon bonds under a class of one-factor models of short interest rates. Numerical results are presented to examine our method and to compare it with the usual finite element method. A conjecture concerning the behavior of the early exercise boundary near the option expiration date is proposed according to the numerical results.
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