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 InfoPaper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 114.
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Black-Scholers model; Interest rate; Binomial model; Risk minimizing strategy;
Other versions of this item:
- Klaus Sandmann, 1993. "The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 201-216.
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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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