Li, Anlong; Ritchken, Peter; Sankarasubramanian, L - In: Journal of Finance 50 (1995) 2, pp. 719-37
This article establishes efficient lattice algorithms for pricing American interest-sensitive claims in the Heath, Jarrow, and Morton paradigm under the assumption that the volatility structure of forward rates is restricted to a class that permits a Markovian representation of the term...