Discrete-Time Valuation of American Options with Stochastic Interest Rates
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/8/1/193/5470172/080193.pdf
Reference39 articles.
1. On the Computation of Continuous Time Option Prices Using Discrete Approximations
2. Pricing foreign currency options under stochastic interest rates
3. Pricing Options On Risky Assets In A Stochastic Interest Rate Economy
4. The Pricing of Stock Index Options in a General Equilibrium Model
5. Bodurtha J. N. Jr. Courtadon G. , 1987, “The Pricing of Foreign Currency Options,” Salomon Brothers Center Monograph Series, New York University, 1987–4/5.
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