The American put with finite‐time maturity and stochastic interest rate
Author:
Affiliation:
1. School of Mathematics University of Leeds Leeds UK
2. School of Management and Economics, Department of ESOMAS University of Turin Turin Italy
3. Collegio Carlo Alberto Turin Italy
Funder
Engineering and Physical Sciences Research Council
China Scholarship Council
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12361
Reference39 articles.
1. Discrete-Time Valuation of American Options with Stochastic Interest Rates
2. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
3. A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
4. Battauz A. &Rotondi F.(2022).American options and stochastic interest rates.Computational Management Science.https://doi.org/10.1007/s10287‐022‐00427‐x
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