On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives
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Publication:4429764
DOI10.1137/S0036139901384674zbMath1029.60030MaRDI QIDQ4429764
Publication date: 28 September 2003
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
optimal stoppingconvexityterm structureAmerican optioninterest rate derivativeminimal excessive function
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)
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