The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach
AbstractThe aim of this paper is to develop a model for the pricing of European options under the assumption of a stochastic interest rate in a discrete-time context. This is accomplished by combining the well-known binomial model for a stock with a binomial model for the spot interest rate. Copyright 1993 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 3 (1993)
Issue (Month): 2 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
Other versions of this item:
- Sandmann,Klaus, . "The pricing of options with an uncertain interest rate: A discrete time approach," Discussion Paper Serie B 114, University of Bonn, Germany.
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- K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany.
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