The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique

Lancaster University

Research output: Working paper

Published

Standard

The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique. / Ho, T S; Stapleton, R C; Subrahmanyam, M G.
Lancaster University: The Department of Accounting and Finance, 1996. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Ho, TS, Stapleton, RC & Subrahmanyam, MG 1996 'The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Ho, T. S., Stapleton, R. C., & Subrahmanyam, M. G. (1996). The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Ho TS, Stapleton RC, Subrahmanyam MG. The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique. Lancaster University: The Department of Accounting and Finance. 1996. (Accounting and Finance Working Paper Series).

Author

Ho, T S ; Stapleton, R C ; Subrahmanyam, M G. / The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique. Lancaster University : The Department of Accounting and Finance, 1996. (Accounting and Finance Working Paper Series).

Bibtex

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title = "The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique",

author = "Ho, {T S} and Stapleton, {R C} and Subrahmanyam, {M G}",

year = "1996",

language = "English",

series = "Accounting and Finance Working Paper Series",

publisher = "The Department of Accounting and Finance",

type = "WorkingPaper",

institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique

AU - Ho, T S

AU - Stapleton, R C

AU - Subrahmanyam, M G

PY - 1996

Y1 - 1996

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - The valuation of american options with stochastic interest rates: a generalization of the Geske-Johnson technique

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -

Research