We consider the option value of cash when nominal interest rates are no longer constrained by the zero lower bound. We provide a general valuation principle and solve for the value of cash in semi-closed form under Vasicek (1977) dynamics for the nominal short rate. In the absence of a zero...

We develop a new high-performance spectral collocation method for the computation of American put and call option prices. The proposed algorithm involves a carefully posed Jacobi-Newton iteration for the optimal exercise boundary, aided by Gauss-Legendre quadrature and Chebyshev polynomial...