Analysis of exercise boundary of American interest rate option  

Analysis of exercise boundary of American interest rate option

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作  者:易法槐 彭新玲 陈映珊 

机构地区:[1]School of Mathematical Sciences,South China Normal University

出  处:《Applied Mathematics and Mechanics(English Edition)》2008年第3期409-420,共12页应用数学和力学(英文版)

基  金:the National Natural Science Foundation of China(Nos.10371045 and 10671075);the Natural Science Foundation of Guangdong Province(No.5005930);the Special Doctoral Program Foundation for Institution of Higher Education(No.20060574002)

摘  要:By applying the variational inequality technique, we analyzed the behavior of the exercise boundary of the American-style interest rate option 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 in this paper.By applying the variational inequality technique, we analyzed the behavior of the exercise boundary of the American-style interest rate option 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 in this paper.

关 键 词:interest rate options exercise boundary variational inequality 

分 类 号:O175.26[理学—数学]

 

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