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.     

分期付款期权在基于教育基金保险的期权中的应用

文献[1]提出了一种基于教育基金保险的欧式看涨期权,它赋予合约持有人在约定时间以约定价格购买连续支付固定年限的教育年金保险的权利,本文在[1]的基础上进一步提出基于教育基金保险的分期付款期权,该期权进一步改进了基于教育基金保险的欧式看涨期权,它赋予期权持有人分期支付期权费的权利,而不是一次性支付期权费,经过首期期权费的支付,期权持有人可以在继续支付期权费以持有期权和中断期权费的支付让期权作废之间选择,这样就可以使投资者在必要的时候取消期权,从而避免无效成本支出.该期权更加方便于低收入家庭和欲将资本用于其它高回报的投资的家庭进行教育投资.本文用后向递推和二叉树方法的方法给出期权定价公式,并确定分期支付的期权费的范围.     

常利率抵押贷款模型及其自由边界问题

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.     

彩虹障碍期权的定价问题

采用偏微分方程方法研究了彩虹障碍期权的定价问题,推导出它满足的偏微分方程,通过求解这个偏微分方程得出了八种彩虹障碍期权的定价公式及四个看涨——看跌平价公式.     

跳扩散模型下的欧式障碍期权的定价

本文在标的资产价格服从跳扩散模型的假设下,运用Girsanov定理获得了价格过程的等价鞅测度,用期权定价的鞅方法得出障碍期权的定价公式.     

完全非线性抛物方程障碍问题的强解

在自然结构条件下证明了具有初值和非线性斜边值的二阶完全非线性抛物方程障碍问题W~(2.1)_∝强解的存在唯一性．     

一类退缩抛物方程自由边界的正则性

本文利用Ｈａｒｎａｃｋ不等式，证明了描述多孔介质的非牛顿流的退缩抛物型方程自由边界的解的Ｈｏｌｄｅｒ连续性．     

一类新的求解双边障碍问题的数值方法

针对双边障碍问题的离散互补形式,提出了一类新的格式将其等价转化为方程组的形式,并采用牛顿迭代法进行求解.实验结果显示所提算法能快速,有效地计算出数值解和接触集.     

The Caffarelli Alternative in Measure for the Nondivergence Form Elliptic Obstacle Problem with Principal Coefficients in VMO

We study the obstacle problem with an elliptic operator in nondivergence form with principal coefficients in VMO. We develop all of the basic theory of existence, uniqueness, optimal regularity, and nondegeneracy of the solutions. These results, in turn, allow us to begin the study of the regularity of the free boundary, and we show existence of blowup limits, a basic measure stability result, and a measure-theoretic version of the Caffarelli alternative proven in [3 Caffarelli , L.A. ( 1977 ). The regularity of free boundaries in higher dimensions . Acta Math. 139 : 155 – 184 .[Crossref], [Web of Science ®] , [Google Scholar]].     

Keldys-Fichera障碍问题

本文考查一个拟线性障碍问题，其系数具更高的增长阶，且边界条件是Ｋｅｌｄｙｓ－Ｆｉｃｈｅｒａ型     

双退化拟线性椭圆型方程Keldys-Fichera障碍问题

讨论一类双退化散度型拟线性椭圆型方程的Keldys-Fichera障碍问题,证明了解的存在性.     

An Obstacle Control Problem with a Source Term

   Abstract. An optimal control problem for an elliptic variational inequality with a source term is considered. The obstacle is the control, and the goal is to keep the solution of the variational inequality close to the desired profile while the H ¹ norm of the obstacle is not too large. The addition of the source term strongly affects the needed compactness result for the existence of a minimizer.     

An Obstacle Control Problem with a Source Term

Abstract. An optimal control problem for an elliptic variational inequality with a source term is considered. The obstacle is the control, and the goal is to keep the solution of the variational inequality close to the desired profile while the H ¹ norm of the obstacle is not too large. The addition of the source term strongly affects the needed compactness result for the existence of a minimizer.     

Mathematical Justification of an Obstacle Problem in the Case of a Plate

In this paper the modeling of a thin plate in unilateral contact with a rigid plane is properly justified.Starting from the three-dimensional nonlinear Signorini problem,by an asymptotic approach the convergence of the displacement field as the thickness of the plate goes to zero is studied.It is shown that the transverse mechanical displacement field decouples from the in-plane components and solves an obstacle problem.     

Random homogenization of an obstacle problem

We study the homogenization of an obstacle problem in a perforated domain, when the holes are periodically distributed and have random shape and size. The main assumption concerns the capacity of the holes which is assumed to be stationary ergodic.     

关于一类半线性高阶障碍问题解的存在性与正则性

本文考虑一类带互补边界条件的四阶半线性椭圆型变分不等式,应用临界点理论,证明了当半线性项具有超线性增长时解的存在性,并利用L~p估计得到了解的正则性.