On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives (Q4429764)
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scientific article; zbMATH DE number 1986928
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives |
scientific article; zbMATH DE number 1986928 |
Statements
On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives (English)
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28 September 2003
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term structure
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interest rate derivative
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American option
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convexity
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optimal stopping
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minimal excessive function
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