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most citedIdentifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem

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q-fin.PR2012

Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model

Maria B. Chiarolla, Tiziano De Angelis

We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forw…