We develop an eigenfunction expansion based value iteration algorithm to solve discrete time infinite horizon optimal stopping problems for a rich class of Markov processes that are important in applications. We provide convergence analysis for the value function and the exercise boundary, and...

We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator....

In this paper, we study a new class of tractable diffusions suitable for model's primitives of interest rates. We consider scalar diffusions with scale s′(x) and speed m(x) densities discontinuous at the level x*. We call that family of processes Self Exciting Threshold (SET) diffusions....