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| Author: | Amin, K. Bodurtha, J. Jr |
| Title: | Discrete-time valuation of American options with stochastic interest rates |
| Journal: | Review of Financial Studies
1995 : SPRING, VOL. 8:1, p. 193-234 |
| Index terms: | AMERICA OPTIONS INTEREST RATES |
| Language: | eng |
| Abstract: | The authors develop an arbitrage-free discrete time model to price American-style claims for which domestic term structure risk, foreign term structure risk, and currency risk are important. This model combines a discrete version of the Heath, Jarrow, and Morton (1992) term structure model with the binominal model of Cox, Ross, and Rubinstein (1979). It converges (weakly) to the continuous time models in Amin and Jarrow (1991, 1992). The general model is "path dependent". |
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