Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1

DOI10.1111/j.1467-9965.1992.tb00030.xzbMath0900.90097OpenAlexW2118967918MaRDI QIDQ4345932

Kaushik I. Amin, Robert A. Jarrow

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/73150

zbMATH Keywords

option pricingstochastic interest ratesmartingale measurescontingent claim valuationAmerican call valuation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

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Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter