Lattice Models for Pricing American Interest Rate Claims
在Heath-Jarrow-Morton框架下，假设远期利率波动率结构允许马尔可夫表示，建立了高效格点算法来定价美国利率敏感型期权，并给出了具体算例。
This article establishes efficient lattice algorithms for pricing American interest-sensitive claims in the Heath, Jarrow, 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.