Lattice Models for Pricing American Interest Rate Claims
在Heath-Jarrow-Morton框架下，针对一类允许马尔可夫表示的远期利率波动率结构，建立了高效的美式利率期权定价格点算法，并给出具体算例。
ABSTRACT This article establishes efficient lattice algorithms for pricing American interest‐sensitive claims in the Heath, Jarrow, and Morton paradigm, under the assumption that the volatility structure of forward rates is restricted to a class that permits a Markovian representation of the term structure. The class of volatilities that permits this representation is quite large and imposes no severe restrictions on the structure for the spot rate volatility. The algorithm exploits the Markovian property of the term structure and permits the efficient computation of all types of interest rate claims. Specific examples are provided.