The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Stephen E. Satchell & Richard C. Stapleton & Marti G. Subrahmanyam, 1997. "The Pricing of Markedâ€ toâ€ Market Contingent Claims in a Noâ€ Arbitrage Economy," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 1-20, June.
- Chang, Chuang-Chang & Tsay, Min-Hung & Lin, Jun-Biao, 2018. "A generalized Brennan–Rubinstein approach for valuing options with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 92-99.
- Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Ziogas, Andrew, 2005.
"Evaluation of American strangles,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 31-62, January.
- Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics.
- Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Research Paper Series 83, Quantitative Finance Research Centre, University of Technology, Sydney.
- Manuel Moreno & Javier Navas, 2003.
"On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives,"
Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
- Manuel Moreno & Javier R. Navas, 2001. "On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra.
- Ho, T. S. & Stapleton, Richard C. & Subrahmanyam, Marti G., 1997. "The valuation of American options on bonds1," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1487-1513, December.
- Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
- B. Gao J. Huang, "undated". "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-002, New York University, Leonard N. Stern School of Business-.
- Bert Menkveld & Ton Vorst, 1998. "A Pricing Model for American Options with Stochastic Interest Rates," Tinbergen Institute Discussion Papers 98-028/2, Tinbergen Institute.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:52:y:1997:i:2:p:827-40. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery). General contact details of provider: http://edirc.repec.org/data/afaaaea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.