## Abstract By applying the Heath–Jarrow–Morton (HJM) framework, an analytical approximation for pricing American options on foreign currency under stochastic volatility and double jump is derived. This approximation is also applied to other existing models for the purpose of comparison. There is e
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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
✍ Scribed by João Pedro Vidal Nunes
- Publisher
- Springer US
- Year
- 2010
- Tongue
- English
- Weight
- 597 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1380-6645
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American option for interest rate caps and coupon bonds are analyzed in the formalism of quantum finance. Calendar time and future time are discretized to yield a lattice field theory of interest rates that provides an efficient numerical algorithm for evaluating the price of American options. The a