American options and stochastic interest rates
From MaRDI portal
Publication:2109007
DOI10.1007/S10287-022-00427-XOpenAlexW4280556777MaRDI QIDQ2109007FDOQ2109007
Authors: Anna Battauz, Francesco Rotondi 
Publication date: 20 December 2022
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-022-00427-x
Recommendations
- The American put with finite‐time maturity and stochastic interest rate
- American option valuation under stochastic interest rates
- American options in Lévy models with stochastic interest rates
- A pricing model for American options with Gaussian interest rates
- American options in the Heston model with stochastic interest rate and its generalizations
Cites Work
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Arbitrage Theory in Continuous Time
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Variational inequalities and the pricing of American options
- Multidimensional diffusion processes.
- Stochastic differential equations. An introduction with applications.
- Valuing American options by simulation: a simple least-squares approach
- Changes of numéraire, changes of probability measure and option pricing
- American options in the Heston model with stochastic interest rate and its generalizations
- The implication of missing the optimal-exercise time of an American option
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Weak convergence of financial markets.
- Convergence of the Critical Price In the Approximation of American Options
- The valuation of American options for a class of diffusion processes
- Fast binomial procedures for pricing Parisian/ParAsian options
- Functional convergence of Snell envelopes: Applications to American options approximations
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Real options with a double continuation region
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
Cited In (7)
- American option pricing under two stochastic volatility processes
- On a constant related to American type options
- Valuation of general GMWB annuities in a low interest rate environment
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- The American put with finite‐time maturity and stochastic interest rate
This page was built for publication: American options and stochastic interest rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2109007)
