Galluccio, Stefano - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 1, pp. 61-71
In the context of Gaussian non-homogeneous interest-rate models, we study the problem of American bond option pricing. In particular, we show how to efficiently compute the exercise boundary in these models in order to decompose the price as a sum of a European option and an American premium....