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 ...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.展开更多
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)
文摘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.