Analysis of exercise boundary of American interest rate option

DOI10.1007/S10483-008-0312-YzbMath1231.35320OpenAlexW1980669272MaRDI QIDQ940588

Xin-ling Peng, Ying-shan Chen, Fa-huai Yi

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

zbMATH Keywords

variational inequalityinterest rate optionsexercise boundary

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Free boundary problems for PDEs (35R35) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)

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
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Analysis of exercise boundary of American interest rate option