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Discrete-Time Valuation of American Options with Stochastic Interest Rates

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References

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1989A nonlinear general equilibrium model of the term structure of interest rates

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244 cited

1994The Valuation of Commodity Contingent Claims192 cited

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1995Lattice Models for Pricing American Interest Rate Claims81 cited
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1997The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique62 cited
1997Interest Rate Risk Management55 cited
2007An Integrated Model for Hybrid Securities46 cited
1996A lattice approach for pricing of multivariate contingent claims36 cited
2007EQUILIBRIUM INTEREST RATE AND THE YIELD CURVE IN A LOW INTEREST RATE ENVIRONMENT29 cited
2010International money and stock market contingent claims29 cited
2001On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics28 cited
1998A direct discrete-time approach to Poisson–Gaussian bond option pricing in the Heath–Jarrow–Morton model28 cited
1996The pricing of Asian options under stochastic interest rates27 cited
1996American stochastic volatility call option pricing: A lattice based approach24 cited
2007An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates23 cited
1995Correlation risk, cross‐market derivative products and portfolio performance*22 cited
2006Monetary Policy and the Yield Curve at Zero Interest: The Macro-Finance Model of Interest Rates as Options19 cited