留言板

尊敬的读者、作者、审稿人, 关于本刊的投稿、审稿、编辑和出版的任何问题, 您可以本页添加留言。我们将尽快给您答复。谢谢您的支持!

姓名
邮箱
手机号码
标题
留言内容
验证码

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

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.
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

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

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.
  • [1] JIANG Li-shang.Well-posedness for a free boundary problem of a nonlinear parabolic equation[J].Acta Math Sinica,1962,12(3):369-388.
    [2] JIANG Li-shang.Existence and differentiability of the solution of a two-phase Stefan problem for quasi-linear parabolic equations[J].Acta Math Sinica,1965,15(6):749-764.
    [3] Wilmott P.Derivatives, The Theory and Practice of Financial Engineering[M].West Sussex,England:John Wiley & Sons Ltd,1998.
    [4] Vasicek O A.An equilibrium characterization of the term structure[J].Financial Economics,1977,5(2):177-188. doi: 10.1016/0304-405X(77)90016-2
    [5] Alobaidi G, Mallier R.Interest rate options close to erpiry[J].SUT Journal of Mathematics,2004,40(1):13-40.
    [6] Samuelson P A.Rational theory of warrant pricing[J].Industrial Management Review,1965,6(1):13-31.
    [7] JIANG Li-shang,BIAN Bao-jun,YI Fa-huai.A parabolic variational inequality arising from valuation of fixed rate mortgages}[J].European J Appl Math,2005,16(3):361-383. doi: 10.1017/S0956792505006297
    [8] Cannon J R.The One-Dimensional Hear Equation[M].Menlo Park,California:Addison-Wesley Publishing Company, Inc, 1984.
    [9] Ladyzenskaja O A, Solonnikov V A, Ural'ceva N N.Linear and Quasi-linear Equations of Parabolic Type[M].Providence,Rhode Island:American Mathematical Society,1968.
    [10] Friedman A.Variational Principle and Free boundary Problems[M].New York:John Wiley & Sons,1982.
    [11] Gilbarg D, Trudinger N.S.Elliptic Partial Differential Equations of Second Order[M].Berlin:Springer-Verlag, 1983.
    [12] Friedman A.Parabolic variational inequalities in one space dimension and smoothness of the free boundary[J].Journal of Functional Analysis,1975,18(2):151-176. doi: 10.1016/0022-1236(75)90022-1
  • 加载中
计量
  • 文章访问数:  2701
  • HTML全文浏览量:  93
  • PDF下载量:  602
  • 被引次数: 0
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

目录

    /

    返回文章
    返回