American options and callable bonds under stochastic interest rates and endogenous bankruptcy

DOI10.1007/S11147-010-9058-XzbMath1235.91166OpenAlexW2146254904MaRDI QIDQ660162

João Pedro Vidal Nunes

Publication date: 26 January 2012

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-010-9058-x

zbMATH Keywords

American optionsconvolutionsoptimal stopping timestochastic interest ratescallable defaultable bonds

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Optimal exercise of American put options near maturity: a new economic perspective

Cites Work

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• Changes of numéraire, changes of probability measure and option pricing
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