基于美式障碍期权定价的非线性变分不等式问题  

The nonlinear variational inequality problem arising from American barrier option

作　　者：孙玉东[1] 王秀芬[1] 

机构地区：[1]贵州民族大学理学院,贵州贵阳550025

出　　处：《高校应用数学学报（A辑）》2015年第1期43-54,共12页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：国家自然科学基金(71171164);贵州省研究生卓越人才计划(ZYRC字[2014]008)

摘　　要：研究了一类基于美式障碍期权定价的非线性变分不等式问题.首先定义了变分不等式问题的弱解.其次利用惩罚方法和Schaefer不动点定理证明了该变分不等式在弱意义下的解是存在且唯一的.In this text, the nonlinear variational inequality problem which arises from the valuation of American barrier option is studied. Firstly, the weak solution of the variational inequality is defined. Secondly, the existence and uniqueness of the solutions in the weak sense are proved by using the Schaefer fixed point theory and penalty method.

关 键 词：非线性变分不等式 弱解 Schaefer不动点定理 惩罚方法 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]