Analysis of exercise boundary of American interest rate option
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Publication:940588
DOI10.1007/s10483-008-0312-yzbMath1231.35320MaRDI QIDQ940588
Fa-huai Yi, Xin-ling Peng, Ying-shan Chen
Publication date: 1 September 2008
Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10483-008-0312-y
91G30: Interest rates, asset pricing, etc. (stochastic models)
35A01: Existence problems for PDEs: global existence, local existence, non-existence
35R35: Free boundary problems for PDEs
35A02: Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness
Cites Work
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- A parabolic variational inequality arising from the valuation of fixed rate mortgages
- An equilibrium characterization of the term structure
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