Chesney, Marc; Elliott, Robert J.; Gibson, Rajna - In: Mathematical Finance 3 (1993) 3, pp. 277-294
In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges,...