Closed-form solutions for pricing credit-risky bonds and bond options

2011 ◽  
Vol 217 (13) ◽  
pp. 6133-6143 ◽  
Author(s):  
Leonard Tchuindjo
Keyword(s):  
Closed Form ◽  
Closed Form Solutions ◽  
Risky Bonds ◽  
Bond Options

scholarly journals Near Exact Calculation of American Options

2020 ◽  
Vol 7 (3) ◽  
pp. 55
Author(s):  
Saied Simozar
Keyword(s):  
Closed Form ◽  
Term Structure ◽  
American Options ◽  
Lattice Models ◽  
Practical Approach ◽  
Exact Calculation ◽  
Closed Form Solutions ◽  
Bond Options ◽  
Bond Option ◽  
Binomial Lattice

A new practical approach for the analysis of American (bond) options is developed which is a combination of the closed form solutions and binomial lattice models. The model is calibrated to the observed term structure of rates and traded volatilities and is arbitrage free. The convergence is very fast, but numerically intensive. By extrapolation the near exact premium of an American (bond) option can be calculated.

Closed Form Solutions of Joint Water-Filling for Coordinated Transmission

2010 ◽  
Vol E93-B (12) ◽  
pp. 3461-3468 ◽  
Author(s):  
Bing LUO ◽  
Qimei CUI ◽  
Hui WANG ◽  
Xiaofeng TAO ◽  
Ping ZHANG
Keyword(s):  
Closed Form ◽  
Closed Form Solutions ◽  
Water Filling
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