A Monte Carlo approach for the American put under stochastic interest rates

DOI10.1016/J.JEDC.2006.04.003zbMath1201.91203OpenAlexW1984969898MaRDI QIDQ1017025

Snorre Lindset, Arne-Christian Lund

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.04.003

zbMATH Keywords

Monte Carlo simulationAmerican optionsstochastic interest ratesGJ-approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

Uses Software

• Ox
• QSIMVN

Cites Work

• American option valuation under stochastic interest rates
• Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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