<span>Analysis of exercise boundary of American interest rate option</span>

YI Fa-huai, PENG Xin-ling, CHEN Ying-shan

doi:10.1007/s10483-008-0312-y

Applied Mathematics and Mechanics >

2008 , Vol. 29 >Issue 3: 409 - 420

DOI: https://doi.org/10.1007/s10483-008-0312-y

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Analysis of exercise boundary of American interest rate option

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School of Mathematical Sciences, South China Normal University, Guangzhou 510631, P. R. China

Received date: 1900-01-01

Revised date: 1900-01-01

Online published: 2008-03-10

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YI Fa-huai, PENG Xin-ling, CHEN Ying-shan . Analysis of exercise boundary of American interest rate option[J]. Applied Mathematics and Mechanics, 2008 , 29(3) : 409 -420 . DOI: 10.1007/s10483-008-0312-y

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