Chung S.-L.2019-07-222019-07-22200200221090https://scholars.lib.ntu.edu.tw/handle/123456789/414518This paper values American options on foreign assets in a stochastic interest rate economy using a two-point Geske and Johnson (1984) technique. The method requires the valuation of just two options: a European option and a twice-exercisable option. I first derive the risk-neutral distributions of asset prices under two forward risk-adjusted measures. Closed-form solutions for European options on foreign assets are then obtained by applying these risk-neutral distributions. This article also provides analytic solutions for pricing twice-exercisable options that are at most two-dimensional even though the valuation problem involves four risk factors at two exercise dates. I report the results of numerical evaluations of American option values using my method and show how they vary with the interest rate parameters. I also verify the accuracy of the proposed method by comparing with the benchmark values obtained from the least-square method of Longstaff and Schwartz (2001).journal article10.2307/35950162-s2.0-0036926746https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036926746&doi=10.2307%2f3595016&partnerID=40&md5=9be7a07e30533eafd1bb92e40dcf4942