American option valuation under stochastic interest rates

DOI10.1023/A:1009694721959MaRDI QIDQ375493zbMATHOpenAlexFDO

Authors San-Lin Chung

Publication date 30 October 2013

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009694721959

zbMATH Keywords

stochastic interest ratesRichardson extrapolationAmerican option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(17)

• American Option Valuation with Particle Filters
• The valuation of American options for a class of diffusion processes
• On numerical methods and the valuation of American options
• The American put with finite‐time maturity and stochastic interest rate
• American options in the Heston model with stochastic interest rate and its generalizations
• American option pricing under two stochastic volatility processes
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• American option pricing under stochastic volatility: an empirical evaluation
• American option valuation under time changed tempered stable Lévy processes
• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• A pricing model for American options with Gaussian interest rates
• A Monte Carlo approach for the American put under stochastic interest rates
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy
• American options and stochastic interest rates
• The Valuation of American Options with Stochastic Stopping Time Constraints
• American Option Valuation under Continuous-Time Markov Chains
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison

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