The valuation of American options on bonds

Journal of Banking and Finance

Volumn 21, Issue 11-12, 1997, Pages 1487-1513

  Ho, T S ^a   Stapleton, Richard C ^a   Subrahmanyam, Marti G ^b  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

American bond options; G11; Stochastic interest rates

Indexed keywords

EID: 0031498153     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(97)00034-4     Document Type: Article

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