On the American swaption in the linear-rational framework

DOI10.1080/14697688.2018.1446547zbMath1406.91441arXiv1607.02067OpenAlexW3122265477WikidataQ129913960 ScholiaQ129913960MaRDI QIDQ4619526

Yerkin Kitapbayev, Damir Filipović

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.02067

zbMATH Keywords

integral equationoptimal stoppinglocal timefree-boundary problemswaptionAmerican swaptionlinear-rational term structure model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption ⋮ Asymmetric short-rate model without lower bound

Cites Work

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• Term-structure models. A graduate course
• Time-inhomogeneous affine processes
• A change-of-variable formula with local time on curves
• A Theory of the Term Structure of Interest Rates
• ON THE AMERICAN OPTION PROBLEM

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