"On the Convexity and Risk-Sensitivity of the Price of American Interest ..."

Luis H. R. Alvarez (2003)

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DOI: 10.1137/S0036139901384674

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type: Journal Article

metadata version: 2020-05-20

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Luis H. R. Alvarez:
On the Convexity and Risk-Sensitivity of the Price of American Interest Rate Derivatives. SIAM J. Appl. Math. 63(3): 923-936 (2003)

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