A pricing model for American options with Gaussian interest rates

DOI10.1023/A:1019275302878zbMath0974.91009OpenAlexW35454515MaRDI QIDQ5933857

Ton Vorst, Albert J. Menkveld

Publication date: 14 June 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1019275302878

zbMATH Keywords

American optionsinterest rateschange of numeraireearly exercise

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations ⋮ The American put with finite‐time maturity and stochastic interest rate ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ Stock loan valuation under a stochastic interest rate model

This page was built for publication: A pricing model for American options with Gaussian interest rates