常利率抵押贷款模型及其自由边界问题  

The Fixed Rate Mortgages Model and the Free Boundary Problems

作　　者：坚雄飞[1] 易法槐[1] 

机构地区：[1]华南师范大学数学系,广州510631

出　　处：《数学年刊（A辑）》2008年第3期413-424,共12页Chinese Annals of Mathematics

基　　金：国家自然科学基金(No.10671075);广东省自然科学基金(No.5005930);高等学校博士学科点专项科研基金(No.20060574002)资助的项目

摘　　要：对常利率抵押贷款模型及其相联系的一维抛物障碍问题的自由边界性质进行了讨论,得到了该问题解的存在唯一性,自由边界的光滑性,凸性及其在原点附近的渐近性质等.This paper deals with the fixed rate mortgages with the constant market envi- roment and the constant contract rate.An one-dimensional parabolic variational inequality which arises from the fixed mortgages is studied,the existence and uniqueness of the solution are obtained.Moreover,the C^∞smoothness and the convexity of the free boundary are proved,the asymptotic behavior of the free boundary near to the expiry date is given.

关 键 词：抵押贷款 期权定价 抛物障碍问题 自由边界 

分 类 号：O175.8[理学—数学]