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ArticleAmerican option valuation under stochastic interest rates

San‐Lin Chung2000

Article2000

American option valuation under stochastic interest rates

San‐Lin Chung

20 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1990Pricing Interest-Rate-Derivative Securities 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1989An Exact Bond Option Formula 1984The American Put Option Valued Analytically 1992A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach

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2000A Pricing Model for American Options with Gaussian Interest Rates 2007Pricing European option in a double exponential jump-diffusion model with two market structure risks and its comparisons 2017A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing

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2007Valuation of vulnerable American options with correlated credit riskarticle · 8 shared references 1996Pricing and Hedging American Options: A Recursive Integration Methodarticle · 7 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 7 shared references 2004The compound option approach to American options on jump-diffusionsarticle · 7 shared references 2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivativespreprint · 7 shared references 2003Confined exponential approximations for the valuation of American optionsarticle · 7 shared references

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Year2000

Typearticle

Published2000-10-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009694721959

openalex_workW1598178972

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