On the convexity and risk-sensitivity of the price of American interest rate derivatives

SIAM Journal on Applied Mathematics

Volumn 63, Issue 3, 2003, Pages 923-936

  Alvarez, Luis H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

Convexity; Interest rate derivatives; Minimal excessive mappings; Optimal stopping; Term structure

Indexed keywords

DIFFUSION; OPTIMAL SYSTEMS; THEOREM PROVING;

INTEREST RATE DERIVATIVES;

SENSITIVITY ANALYSIS;

EID: 0037828227     PISSN: 00361399     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036139901384674     Document Type: Article

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