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.
出处
《数学年刊（A辑）》
CSCD
北大核心
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
关键词
抵押贷款
期权定价
抛物障碍问题
自由边界
Option pricing, Fixed rate mortgages, Obstacle problem, Freeboundary
