Hillsborough Street
Raleigh, NC 27695
United States
North Carolina State University
spread trading, optimal stopping, OU process, free-boundary problem, local timespace calculus, integral equation
Stochastic Volatility, VIX, Generalized 3/2 and 1/2 Models, Generalized Mixture Models, American Options, Exercise Premium, Exercise Boundaries, Integral Equations, Local Time
American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation
Bankruptcy, Barrier Options, Capital Structure, Default Probability, Integral Equation, Refinancing, Trade-off Model
American capped option, optimal stopping, geometric Brownian motion, free-boundary problem, local time, integral equation
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MAFI.pdf Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
American options, exercise boundaries, exercise premium, generalized 3/2 and 1/2 models, generalized mixture models, integral equations, local time, stochastic volatility, VIX
