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.
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)
