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Pricing Options On Risky Assets In A Stochastic Interest Rate Economy 1

dc.contributor.authorAmin, Kaushik I.en_US
dc.contributor.authorJarrow, Robert A.en_US
dc.date.accessioned2010-06-01T20:01:23Z
dc.date.available2010-06-01T20:01:23Z
dc.date.issued1992-10en_US
dc.identifier.citationAmin, 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.issn0960-1627en_US
dc.identifier.issn1467-9965en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/73150
dc.format.extent842061 bytes
dc.format.extent3109 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.publisherBlackwell Publishing Ltden_US
dc.rights1992 Blackwell Publishersen_US
dc.subject.otherAmerican Call Valuationen_US
dc.subject.otherOption Pricingen_US
dc.subject.otherStochastic Interest Ratesen_US
dc.subject.otherMartingale Measuresen_US
dc.titlePricing Options On Risky Assets In A Stochastic Interest Rate Economy 1en_US
dc.typeArticleen_US
dc.subject.hlbsecondlevelFinanceen_US
dc.subject.hlbsecondlevelMathematicsen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.subject.hlbtoplevelScienceen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumSchool of Business Administration, University of Michigan, Ann Arbor, MIen_US
dc.contributor.affiliationotherS. C. Johnson Graduate School of Management, Cornell University, Ithaca, NYen_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/73150/1/j.1467-9965.1992.tb00030.x.pdf
dc.identifier.doi10.1111/j.1467-9965.1992.tb00030.xen_US
dc.identifier.sourceMathematical Financeen_US
dc.identifier.citedreferenceAmin, 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.citedreferenceDurrett, R. ( 1984 ): Brownian Motion and Martingales in Analysis. Belmont, CA: Wadsworth.en_US
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dc.identifier.citedreferenceHeath, 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.citedreferenceJarrow, R. ( 1987 ): “ The Pricing of Commodity Options with Stochastic Interest Rates ”, Adv. Futures Options Res. 2, 19 – 45.en_US
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dc.identifier.citedreferenceKaratzas, I., and S. Shreve ( 1988 ): Brownian Motion and Stochastic Calculus. New York: Springer-Verlag.en_US
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dc.identifier.citedreferenceMerton, R. C. ( 1973 ): “ The Theory of Rational Option Pricing,” Bell J. Econ. Management Sci., 4, 141 – 183.en_US
dc.identifier.citedreferenceMorton, A. J. ( 1989 ): “ Arbitrage and Martingales,” Ph.D. thesis, School of Operations Research, Cornell University.en_US
dc.identifier.citedreferenceRoll, R. ( 1977 ): “ An Analytic Formula for Unprotected American Call Options on Stocks with Known Dividends,” J. Financial Econ., 5, 251 – 258.en_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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