A parabolic variational inequality arising from the valuation of American interest rate options (Q3538413)
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scientific article; zbMATH DE number 5371477
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| English | A parabolic variational inequality arising from the valuation of American interest rate options |
scientific article; zbMATH DE number 5371477 |
Statements
24 November 2008
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interest rate option
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option pricing
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variational inequality
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free boundary
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0.856031060218811
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0.8509624004364014
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0.8404213190078735
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0.8404213190078735
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0.8401197791099548
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