If one wants to price an American option using the HJM libor model, is there a closed-

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If one wants to price an American option using the HJM libor model, is there a closed- form solution? If not, how can one price such an option?

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An Introduction to Derivative Securities Financial Markets and Risk Management

ISBN: 978-0393913071

1st edition

Authors: Robert A. Jarrow, Arkadev Chatterjee

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Question Posted: Dec 02, 2015 04:03 AM

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If one wants to price an American option using the HJM libor model, is there a closed-

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No there is no closed form solution for an Amer...View the full answer

An Introduction to Derivative Securities Financial Markets and Risk Management

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