## 留言板

 引用本文: 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[J]. 应用数学和力学, 2008, 29(3): 369-378.
YI Fa-huai, PENG Xin-ling, CHEN Ying-shan. Analysis of the Exercise Boundary of an American Interest Rate Option[J]. Applied Mathematics and Mechanics, 2008, 29(3): 369-378.
 Citation: YI Fa-huai, PENG Xin-ling, CHEN Ying-shan. Analysis of the Exercise Boundary of an American Interest Rate Option[J]. Applied Mathematics and Mechanics, 2008, 29(3): 369-378.

## 美式利率期权的最佳实施边界的分析

###### 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

## Analysis of the Exercise Boundary of an American Interest Rate Option

• 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．
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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

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