The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach
The 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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Volume (Year): 3 (1993)
Issue (Month): 2 ()
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