抄録
A closed form approximation formula is derived for American coupon bond options on the basis of the Geske-Johnson method under the assumption that the interest rate follows the rational log-normal model. Its strike-time discretization errors are estimated, and are found to be permissible as a rule, though they are larger than in the case of American stock options. The Geske-Johnson method would be available for estimating American interest rate options as well as for American stock options.
