In this paper, we describe a numerical method to price barrier options on a zero-coupon bond. The method can be applied to one-factor short rate models where the transtion distribution function of the short rate is known and no explicit solutions for barrier bond options are available. We give...

Lattice methods are often used to value derivative instruments. Multinomial lattice methods can in principle converge to the true value of the derivative to very high order. In this paper we describe how very high order multinomial lattices can be constructed and implemented when the SDE...