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

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Cites Work

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• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter