アメリカン金利オプションの解析的近似式(数理ファイナンス, <特集>平成17年研究部会連合発表会)
An Analytical Approximation Formula for an American Interest Rate Option(Mathematical Finance, Joint Symposium of JSIAM Activity Groups 2005)

Nobuo Maeda
2005 Nihon Oyo Suri Gakkai ronbunshi  
. Aclosed fbrm approximation formula is derived for American cQupon bond options on the basis of the Geske − Johnson method under the assumption that the interes 七 rate follows the rational log − normal modeL Its strike − time discretization errors are esti − mated , and are found to be permissible as a rule , though they are larger than in the case of American stock options . The Geske − Johnson method would be available for estimating American interest rate options as well as fbr American
more » ... as fbr American stock options ,
doi:10.11540/jsiamt.15.3_335 fatcat:ot6vgrfnpne23bumbv6bnlyx7m