American options and stochastic interest rates
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Publication:2109007
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Cites work
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A theory of the term structure of interest rates
- American options in the Heston model with stochastic interest rate and its generalizations
- An equilibrium characterization of the term structure
- Arbitrage Theory in Continuous Time
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- Changes of numéraire, changes of probability measure and option pricing
- Convergence of the Critical Price In the Approximation of American Options
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Fast binomial procedures for pricing Parisian/ParAsian options
- Functional convergence of Snell envelopes: Applications to American options approximations
- Multidimensional diffusion processes.
- Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Real options with a double continuation region
- Stochastic differential equations. An introduction with applications.
- The implication of missing the optimal-exercise time of an American option
- The valuation of American options for a class of diffusion processes
- Valuing American options by simulation: a simple least-squares approach
- Variational inequalities and the pricing of American options
- Weak convergence of financial markets.
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
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