The Value of a Two-Sided Real Swaption

DOI10.4208/jms.v55n3.22.06OpenAlexW4294292330MaRDI QIDQ5882283

Caixiu Liao, Nengsheng Fang

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

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

Cites Work

• Real option model of dynamic growth processes with consumption
• Mathematical models of financial derivatives
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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