Discrete-Time Valuation of American Options with Stochastic Interest Rates

We 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 binomial...

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Veröffentlicht in:	The Review of financial studies 1995-04, Vol.8 (1), p.193-234
Hauptverfasser:	Amin, Kaushik I., Bodurtha, James N.
Format:	Artikel
Sprache:	eng
Schlagworte:	American dollar American option Arbitrage Commodities Currencies Currency Equity Financial instruments Fixed exchange rates Foreign exchange rates Interest rate risk Interest rates Partial differential equations Path dependence Pricing Securities prices Standard deviation Stochastic models Strike prices U.S.A Valuation Volatility Warrants
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