American options and stochastic interest rates
From MaRDI portal
Publication:2109007
DOI10.1007/s10287-022-00427-xOpenAlexW4280556777MaRDI QIDQ2109007
Francesco Rotondi, Anna Battauz
Publication date: 20 December 2022
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-022-00427-x
Related Items (3)
The American put with finite‐time maturity and stochastic interest rate ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
Cites Work
- The implication of missing the optimal-exercise time of an American option
- Variational inequalities and the pricing of American options
- Functional convergence of Snell envelopes: Applications to American options approximations
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Fast binomial procedures for pricing Parisian/ParAsian options
- Weak convergence of financial markets.
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Multidimensional diffusion processes.
- A Theory of the Term Structure of Interest Rates
- Real options with a double continuation region
- The Valuation of American Options for a Class of Diffusion Processes
- American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
- Convergence of the Critical Price In the Approximation of American Options
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- Changes of numéraire, changes of probability measure and option pricing
- An equilibrium characterization of the term structure
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Arbitrage Theory in Continuous Time
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
- Stochastic differential equations. An introduction with applications.
This page was built for publication: American options and stochastic interest rates
