Analysis of exercise boundary of American interest rate option (Q940588)

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Analysis of exercise boundary of American interest rate option
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    Statements

    title
    Analysis of exercise boundary of American interest rate option (English)
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    author
    Fa-huai Yi
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    Xin-ling Peng
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    Ying-shan Chen
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    publication date
    1 September 2008
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    zbMATH Keywords
    interest rate options
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    exercise boundary
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    variational inequality
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    Identifiers

    Mathematics Subject Classification ID
    35R35
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    91G30
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    35A01
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    35A02
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    zbMATH DE Number
    5318371
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