American option valuation under stochastic interest rates
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DOI: 10.1023/A:1009694721959
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References listed on IDEAS
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- Stephen E. Satchell & Richard C. Stapleton & Marti G. Subrahmanyam, 1997. "The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-37, New York University, Leonard N. Stern School of Business-.
- Ho, Teng-Suan & Stapleton, Richard C & Subrahmanyam, Marti G, 1995. "Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1125-1152.
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Cited by:
- Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2021. "The American put with finite-time maturity and stochastic interest rate," Papers 2104.08502, arXiv.org, revised Feb 2024.
- Minqiang Li, 2010.
"A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes,"
Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
- Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany.
- Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2022. "The American put with finite‐time maturity and stochastic interest rate," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1170-1213, October.
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Keywords
American option pricing; stochastic interest rates; Richardson extrapolation;All these keywords.
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