The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1

DOI10.1111/J.1467-9965.1993.TB00088.XMaRDI QIDQ4372010zbMATH OpenOpenAlexFDO

Authors Klaus Sandmann

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00088.x

zbMATH Keywords

stochastic interest ratepricing of European options

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55)

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Martingales and arbitrage in multiperiod securities markets
• The pricing of options and corporate liabilities

Cited in

(9)

• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
• Calibrating the Black-Derman-Toy model: some theoretical results
• Interest rate options valuation under incomplete information
• Option pricing under joint dynamics of interest rates, dividends, and stock prices
• Lognormality of rates and term structure models
• Analyzing short-rate models for efficient bond option pricing: a review
• Option pricing by mathematical programming†
• Valuation of derivative securities involving several assets using discrete time methods
• Interest Rate Risk Management

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