Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1

DOI10.1111/j.1467-9965.1992.tb00030.xzbMath0900.90097MaRDI QIDQ4345932

Robert A. Jarrow, Kaushik I. Amin

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/73150

zbMATH Keywords

option pricing; stochastic interest rates; martingale measures; contingent claim valuation; American call valuation

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G10: Portfolio theory

Related Items

The pricing of Asian options under stochastic interest rates, Valuation and hedging of contingent claims in the HJM model with deterministic volatilities, MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED, Pricing stock and bond derivatives with a multi-factor Gaussian model, ON THE CONSISTENCY OF THE LUCAS PRICING FORMULA, Discrete-time bond and option pricing for jump-diffusion processes, Stock index dynamics and derivatives pricing with stochastic interest rates, Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility, American option pricing under stochastic volatility: an empirical evaluation, A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model, Pricing of multi-period rate of return guarantees., Econometric methods for derivative securities and risk management, Pricing and hedging long-term options, Pricing rate of return guarantees in a Heath-Jarrow-Morton framework, Tax liens: a novel application of asset pricing theory, Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison, Using computational methodology to price European options with actual payoff distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the pricing of American options
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter