The Valuation of American Options With Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique

Journal of Finance - United Kingdom
doi 10.2307/2329500
Full Text
Abstract

Available in full text

Date
Authors
Publisher

JSTOR

Related search

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Journal of Financial Economics
ManagementFinanceEconomicsStrategyAccountingEconometrics
2010English

A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model

SSRN Electronic Journal
2012English

Real Option Problems With Stochastic Interest Rates

INFRASTRUCTURE PLANNING REVIEW
2007English

Bounds for Present Value Functions With Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics
UncertaintyEconomicsStatisticsEconometricsProbability
2002English

The Term Structure of Interest Rates as a Random Field: A Stochastic Integration Approach

2004English

Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies

SSRN Electronic Journal
1999English

A Stochastic Mesh Method for Pricing High-Dimensional American Options

Journal of Computational Finance
Applied MathematicsComputer Science ApplicationsFinance
2004English

The Valuation of Geothermal Power Projects in Indonesia Using Real Options Valuation

MATEC Web of Conferences
Materials ScienceEngineeringChemistry
2018English

The Behavior of Interest Rates

Review of Financial Studies
AccountingEconomicsEconometricsFinance
2006English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy