This paper includes the content from earlier papers by K. Amin, “Pricing American Options in a Term Structure Economy,” 1989, and R. Jarrow, “Option Valuation of Risky Assets in a Stochastic Interest Rate Economy,” 1988. Helpful comments from Robin Brenner, Peter Carr, David Heath, and the participants of the Finance Workshop at Cornell University are gratefully acknowledged.
Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
Article first published online: 6 DEC 2006
Volume 2, Issue 4, pages 217–237, October 1992
How to Cite
Amin, K. I. and Jarrow, R. A. (1992), Pricing Options On Risky Assets In A Stochastic Interest Rate Economy. Mathematical Finance, 2: 217–237. doi: 10.1111/j.1467-9965.1992.tb00030.x
- Issue published online: 6 DEC 2006
- Article first published online: 6 DEC 2006
- Manuscript received May 1991; final version received May 1992.
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