On the American swaption in the linear-rational framework
Damir Filipović and Yerkin Kitapbayev
| Year of publication: |
2018
|
|---|---|
| Authors: | Filipović, Damir ; Kitapbayev, Yerkin |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 11, p. 1865-1876
|
| Subject: | American swaption | Free-boundary problem | Integral equation | Linear-rational term structure model | Local time | Optimal stopping | Swap | Swaption | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Suchtheorie | Search theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1446547 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262857