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A Pricing Model for American Options with Gaussian Interest Rates · Study

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ArticleA Pricing Model for American Options with Gaussian Interest Rates

Albert J. Menkveld2000

Article2000

A Pricing Model for American Options with Gaussian Interest Rates

Albert J. Menkveld · Ton Vorst

18 citations·0/0 files stored·Annals of Operations 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

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1990Pricing Interest-Rate-Derivative Securities 1997Martingale Methods in Financial Modelling 1995Changes of numéraire, changes of probability measure and option pricing 1984The American Put Option Valued Analytically 1990The Analytic Valuation of American Options

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Year2000

Typearticle

Published2000-12-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1019275302878

openalex_workW35454515

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