American option valuation under stochastic interest rates
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Publication:375493
DOI10.1023/A:1009694721959zbMath1274.91408OpenAlexW1598178972MaRDI QIDQ375493
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009694721959
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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The American put with finite‐time maturity and stochastic interest rate ⋮ Pricing American put option on zero-coupon bond in a jump-extended CIR model ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ A Monte Carlo approach for the American put under stochastic interest rates
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