Abstract
1. Introduction
2. Finite-Difference Method and American-type Options
2.1 General Formula
2.2 American-type Put Options on Securities
2.3 Term Structure Model
2.4 American-type Option-Embedded Bonds
2.5 OU Process
3. Code Examples
3.1 Iu.prc
3.2 bs_put.prc
3.3 main_bs.prg
3.4 cir_m.prc
3.5 cir_all.prc
3.6 main_cir.prg
References |
Kenji Miyazaki
Makoto Saito |
論文PDF |