Analysis of exercise boundary of American interest rate option

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.     

美式利率期权的最佳实施边界的分析

在Vasicek利率模型的假设下,应用变分不等式方法分析了美式利率期权自由边界的性质．首先我们得到美式利率期权自由边界的下界, 然后把自由边界问题化为变分不等式,通过引入惩罚函数证明了该变分不等式解的存在唯一性,最后证明了自由边界的单调性、 有界性和C∞光滑性．