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

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DOI10.1137/S0036139901384674zbMath1029.60030MaRDI QIDQ4429764

Luis H. R. Alvarez

Publication date: 28 September 2003

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal stopping convexity term structure American option interest rate derivative minimal excessive function

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

Related Items (2)

Irreversible capital accumulation under interest rate uncertainty ⋮ Wicksellian theory of forest rotation under interest rate variability

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