The Valuation of American Options in Stochastic Interest Rate Economies

The Valuation of American Options in Stochastic Interest Rate Economies
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Publisher :
Total Pages : 45
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ISBN-13 : OCLC:26510380
ISBN-10 :
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Book Synopsis The Valuation of American Options in Stochastic Interest Rate Economies by : Teng Suan Ho

Download or read book The Valuation of American Options in Stochastic Interest Rate Economies written by Teng Suan Ho and published by . This book was released on 1992 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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The Geske-Johnson approach provides an efficient and intuitively appealing technique for the valuation and hedging of American-style contingent claims. Here, we