The Value of a Two-Sided Real Swaption

DOI10.4208/JMS.V55N3.22.06MaRDI QIDQ5882283zbMATH OpenOpenAlexFDO

Authors Nengsheng Fang, Caixiu Liao

Publication date 15 March 2023

Published in Journal of Mathematical Study (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jms.v55n3.22.06

zbMATH Keywords

two-sided matchingoptimal exercise boundaryreal optionswaption

Mathematics Subject Classification ID

Hamilton-Jacobi theories (49L99) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

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Cites work

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• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
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• Real option model of dynamic growth processes with consumption

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