Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1
dc.contributor.author | Amin, Kaushik I. | en_US |
dc.contributor.author | Jarrow, Robert A. | en_US |
dc.date.accessioned | 2010-06-01T20:01:23Z | |
dc.date.available | 2010-06-01T20:01:23Z | |
dc.date.issued | 1992-10 | en_US |
dc.identifier.citation | Amin, Kaushik I.; Jarrow, Robert A. (1992). "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 ." Mathematical Finance 2(4): 217-237. <http://hdl.handle.net/2027.42/73150> | en_US |
dc.identifier.issn | 0960-1627 | en_US |
dc.identifier.issn | 1467-9965 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/73150 | |
dc.format.extent | 842061 bytes | |
dc.format.extent | 3109 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.publisher | Blackwell Publishing Ltd | en_US |
dc.rights | 1992 Blackwell Publishers | en_US |
dc.subject.other | American Call Valuation | en_US |
dc.subject.other | Option Pricing | en_US |
dc.subject.other | Stochastic Interest Rates | en_US |
dc.subject.other | Martingale Measures | en_US |
dc.title | Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1 | en_US |
dc.type | Article | en_US |
dc.subject.hlbsecondlevel | Finance | en_US |
dc.subject.hlbsecondlevel | Mathematics | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.subject.hlbtoplevel | Science | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | School of Business Administration, University of Michigan, Ann Arbor, MI | en_US |
dc.contributor.affiliationother | S. C. Johnson Graduate School of Management, Cornell University, Ithaca, NY | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/73150/1/j.1467-9965.1992.tb00030.x.pdf | |
dc.identifier.doi | 10.1111/j.1467-9965.1992.tb00030.x | en_US |
dc.identifier.source | Mathematical Finance | en_US |
dc.identifier.citedreference | Amin, K., and R. Jarrow ( 1991 ): “ Pricing Foreign Currency Options under Stochastic Interest Rates,” J. Int. Money Finance, 10 ( 3 ), 310 – 329. | en_US |
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dc.identifier.citedreference | Durrett, R. ( 1984 ): Brownian Motion and Martingales in Analysis. Belmont, CA: Wadsworth. | en_US |
dc.identifier.citedreference | Fakeev, A. G. ( 1970 ): “ Optimal Stopping Rules for a Stochastic Process with Continuous Parameter,” Theory Probab. Appl., 15, 324 – 331. | en_US |
dc.identifier.citedreference | Harrison, J. M., and D. M. Kreps ( 1979 ): “ Martingales and Arbitrage in Multiperiod Security Markets,” J. Econ. Theory, 20, 381 – 408. | en_US |
dc.identifier.citedreference | Harrison, J. M., and S. R. Pliska ( 1981 ): “ Martingales and Stochastic Integrals in the Theory of Continuous Trading,” Stoch. Processes Appl., 11, 215 – 260. | en_US |
dc.identifier.citedreference | Heath, D. C., R. A. Jarrow, and A. J. Morton ( 1992 ): “ Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica, 60 ( 1 ), 77 – 105. | en_US |
dc.identifier.citedreference | Jarrow, R. ( 1987 ): “ The Pricing of Commodity Options with Stochastic Interest Rates ”, Adv. Futures Options Res. 2, 19 – 45. | en_US |
dc.identifier.citedreference | Karatzas, I. ( 1988 ): “ On the Pricing of American Options,” Appl. Math. Optim., 17, 37 – 60. | en_US |
dc.identifier.citedreference | Karatzas, I., and S. Shreve ( 1988 ): Brownian Motion and Stochastic Calculus. New York: Springer-Verlag. | en_US |
dc.identifier.citedreference | Liptser, R. S., and A. N. Shiryayev ( 1977 ): Statistics of Random Processes. I: General Theory. New York: Springer-Verlag. | en_US |
dc.identifier.citedreference | Merton, R. C. ( 1973 ): “ The Theory of Rational Option Pricing,” Bell J. Econ. Management Sci., 4, 141 – 183. | en_US |
dc.identifier.citedreference | Morton, A. J. ( 1989 ): “ Arbitrage and Martingales,” Ph.D. thesis, School of Operations Research, Cornell University. | en_US |
dc.identifier.citedreference | Roll, R. ( 1977 ): “ An Analytic Formula for Unprotected American Call Options on Stocks with Known Dividends,” J. Financial Econ., 5, 251 – 258. | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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