On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives (Q4429764)

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scientific article; zbMATH DE number 1986928
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On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives
scientific article; zbMATH DE number 1986928

    Statements

    On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives (English)
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    28 September 2003
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    term structure
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    interest rate derivative
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    American option
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    convexity
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    optimal stopping
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    minimal excessive function
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