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math.AP2007
Convexity theory for the term structure equation
Erik Ekstrom, Johan Tysk
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexi…
math.AP2005
Properties of option prices in models with jumps
Erik Ekström, Johan Tysk
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Con…