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The American put with finite‐time maturity and stochastic interest rate
Work
Year: 2022
Type: article
Abstract: In this paper, we study pricing of American put options on a nondividend‐paying stock in the Black and Scholes market with a stochastic interest rate and finite‐time maturity. We prove that the optio... more
Source: Mathematical Finance
Authors Cheng Cai, Tiziano De Angelis, Jan Palczewski
Institutions University of Leeds, University of Turin, Collegio Carlo Alberto
Cites: 48
Cited by: 7
Related to: 10
FWCI: 1.282
Citation percentile (by year/subfield): 86.27
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $3,660
Funders China Scholarship Council, Engineering and Physical Sciences Research Council