A generalized Brennan-Rubinstein approach for valuing options with stochastic interest rates
Chuang-Chang Chang, Min-Hung Tsay, Jun-Biao Lin
| Year of publication: |
2018
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|---|---|
| Authors: | Chang, Chuang-chang ; Tsay, Min-Hung ; Lin, Jun-Biao |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 67.2018, p. 92-99
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| Subject: | American put options | Generalized Brennan-Rubinstein framework | Geske and Johnson method | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2017.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012034430