Analysis of the Exercise Boundary of an American Interest Rate Option
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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.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.
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Key words:
- interest rate option /
- exercise boundary /
- variational inequality
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