美式利率期权定价的抛物型变分不等式

应用PDE方法对美式利率期权定价问题进行理论分析.在CIR利率模型下美式利率期权定价问题可归结为一个退化的一维抛物型变分不等式.通过引入惩罚函数证明了该变分不等式的解的存在唯一性,然后研究了自由边界的一些性质,如单调性,光滑性和自由边界在终止期的位置.     

A parabolic variational inequality related to the perpetual American executive stock options

A parabolic variational inequality is investigated which comes from the study of the optimal exercise strategy for the perpetual American executive stock options in financial markets. It is a degenerate parabolic variational inequality and its obstacle condition depends on the derivative of the solution with respect to the time variable. The method of discrete time approximation is used and the existence and regularity of the solution are established.     

American lookback option with fixed strike price—2-D parabolic variational inequality

In this paper we study a 2-dimensional parabolic variational inequality with financial background. We define a suitable weak formula and obtain existence and uniqueness of the problem. Moreover we analyze the behaviors of the free boundary surface.     

A variational inequality arising from American installment call options pricing

In this paper we consider a parabolic variational inequality with two free boundaries arising from American continuous-installment call options pricing. We prove the existence and uniqueness of the solution to the problem. Moreover, we obtain the monotonicity and smoothness of two free boundaries and show its numerical solution by the binomial method.     

The variational inequality approach to the

Considering the one-phase Stefan problem, we present an account of some recent mathematical results within the framework of variational inequalities. We discuss several situations corresponding to different boundary conditions and different geometries, like the exterior problem, the continuous casting model, and the degenerate case of the quasi-steady model. We develop a few continuous-dependence results explaining their relevance to the stability properties of the solution and of the free boundary, including the asymptotic behaviour for large time, the stability for homogenization, and the perturbation of the Dirichlet boundary conditions.     

A PDE PROBLEM ARISING FROM CALCULATION OF THE MODEL FOR CONTINUOUS CASTING OF STEEL

This paper deals with the relationship between a certain three-dimensional elliptic problem and a two-dimensional parabolic problem, which arises from numerical calculation in the process of the continuous casting of steel.     

Uniqueness of solutions of the parabolic variational inequality with variable exponent of nonlinearity

In this article, new properties of variable exponent Lebesque and Sobolev spaces were examined. Using these properties we prove that the solution of some parabolic variational inequality is unique with the given conditions.     

On a phase-change problem arising from inductive heating

In this paper we study a phase-change problem arising from induction heating. The mathematical model consists of time-harmonic Maxwell’s system in a quasi-stationary field coupled with nonlinear heat conduction. The enthalpy form is used to characterize the phase-change in the material. It is shown that the problem has a global solution. Moreover, it is shown that the solution is unique and regular in one-space dimension even with an unbounded resistivity. This work is supported in part by a NSF grant: DMS-0102261     

A Harnack inequality for a degenerate parabolic equation

We prove a Harnack inequality for a degenerate parabolic equation using proper estimates based on a suitable version of the Rayleigh quotient. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

On the singular set of the parabolic obstacle problem

This paper is devoted to regularity results and geometric properties of the singular set of the parabolic obstacle problem with variable right-hand side. Making use of a monotonicity formula for singular points, we prove the uniqueness of blow-up limits at singular points. These results apply to parabolic obstacle problem with variable coefficients.     

A parabolic two-phase obstacle-like equation

For the parabolic obstacle-problem-like equation

Δu−t_∂u=λ₊χ{u>0}−λ₋χ{u<0},     

A variational inequality arising from European option pricing with transaction costs

In this paper we present a method which can transform a variational inequality with gradient constraints into a usual two obstacles problem in one dimensional case.The prototype of the problem is a parabolic variational inequality with the constraints of two first order differential inequalities arising from a two-dimensional model of European call option pricing with transaction costs.We obtain the monotonicity and smoothness of two free boundaries.     

基于美式障碍期权定价的非线性变分不等式问题

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.     

A comparison principle for weak solutions of the Cauchy problem for quasilinear parabolic inequalities

We obtain a new comparison principle for weak solutions of the Cauchy problem for a wide class of quasilinear parabolic inequalities. This is a nonlinear result with no analogue in linear theory. Received: 13 January 2005     

A fast high-order finite difference algorithm for pricing American options

We describe an improvement of Han and Wu’s algorithm [H. Han, X.Wu, A fast numerical method for the Black–Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003) 2081–2095] for American options. A high-order optimal compact scheme is used to discretise the transformed Black–Scholes PDE under a singularity separating framework. A more accurate free boundary location based on the smooth pasting condition and the use of a non-uniform grid with a modified tridiagonal solver lead to an efficient implementation of the free boundary value problem. Extensive numerical experiments show that the new finite difference algorithm converges rapidly and numerical solutions with good accuracy are obtained. Comparisons with some recently proposed methods for the American options problem are carried out to show the advantage of our numerical method.     

Global solutions and asymptotic behavior for a parabolic degenerate coupled system arising from biology

In this paper we will focus on a parabolic degenerate system with respect to unknown functions u and w on a bounded domain of the two dimensional Euclidean space. This system appears as a mathematical model for some biological processes. Global existence and uniqueness of a nonnegative classical Hölder continuous solution are proved. The last part of the paper is devoted to the study of the asymptotic behavior of the solutions.     

A variational inequality approach to constrained control problems for parabolic equations

A distributed optimal control problem for parabolic systems with constraints in state is considered. The problem is transformed to control problem without constraints but for systems governed by parabolic variational inequalities. The new formulation presented enables the efficient use of a standard gradient method for numerically solving the problem in question. Comparison with a standard penalty method as well as numerical examples are given.     

On the non-existence of global solutions to the Cauchy problem for semilinear parabolic equations and inequalities

We generalize and improve recent non-existence results for global solutions to the Cauchy problem for the inequality as well as for the equation u_t = Δu + |u|^q in the half-space . Received: 16 September 2005