美式利率期权的最佳实施边界的分析

易法槐; 彭新玲; 陈映珊

美式利率期权的最佳实施边界的分析

华南师范大学数学科学学院,广州 510631

基金项目: 国家自然科学基金资助项目(10371045;10671075);广东省自然科学基金资助项目(5005930);高等学校博士学科点专项科研基金资助项目(20060574002)

详细信息

作者简介:
易法槐(1948- ),男,教授,博士(联系人.Tel:+86-20-85216013;E-mail:fhyi@scnu.edu.on).

中图分类号: O175.26
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出版历程
- 收稿日期: 2007-09-11
- 修回日期: 2008-01-21
- 刊出日期: 2008-03-15

Analysis of the Exercise Boundary of an American Interest Rate Option

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

摘要

摘要: 在Vasicek利率模型的假设下,应用变分不等式方法分析了美式利率期权自由边界的性质．首先我们得到美式利率期权自由边界的下界, 然后把自由边界问题化为变分不等式,通过引入惩罚函数证明了该变分不等式解的存在唯一性,最后证明了自由边界的单调性、有界性和C∞光滑性．
- 利率期权 /
- 自由边界 /
- 变分不等式
Abstract: By applying the variational inequality technique, the behavior of the exercise boundary of the american-style interest rate option is analyzed under the assumption that the interest rates obey a mean-reverting random walk as given by the Vasicek model. The monotonicity, boundedness and C^∞-smoothness of the exercise boundary are proved.
- interest rate option /
- exercise boundary /
- variational inequality

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参考文献(12)

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