The regularity of the free boundary for strike reset option

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a parabolic variational inequality and the optimal reset strategy is the free boundary. The smoothness of the free boundary in some cases was showed in our article published in JDE. We would prove its smoothness in the other case in this paper by a generalized comparison principle for the variational inequality.     

REGULARITY OF THE FREE BOUNDARY IN ELECTROCHEMICAL MACHINING PROBLEM

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美式看跌期权定价问题的修正C-N格式求解

1 引言 期权是最重要的金融衍生工具之一,是一种客观的选择权,它赋予其购买者一种在规定期限内按交易双方约定的价格(敲定价)购买或出售一定数量的某种金融资产的权利.     

美式期权定价问题的数值方法

本文研究美式股票看跌期权定价问题的数值方法。通过将问题转化为等价的变分不等式方程，分别建立了半离散和全离散有限元逼近格式。并给出了有限元解的收敛性和稳定性分析。数值实验表明本文算法是一个高效和收敛的算法。     

带有重置条款的可转换债券定价

可转换债券是中国证券市场的热点之一.本文主要研究如何给带有重置条款的可转换债券进行定价.文中采用了等价鞅测度的思想将标的物从风险世界转换到风险中性世界中,然后在风险中性世界中应用鞅评价方法对带有重置条款的可转换债券进行定价.     

BOUNDARY ELEMENT APPROXIMATION OF THE SEMI-DISCRETE PARABOLIC VARIATIONAL INEQUALITIES OF THE SECOND KIND

The boundary element approximation of the parabolic variational inequalities of the second kind is discussed. First, the parabolic variational inequalities of the second kind can be reduced to an elliptic variational inequality by using semidiscretization and implicit method in time; then the existence and uniqueness for the solution of nonlinear non-differentiable mixed variational inequality is discussed. Its corresponding mixed boundary variational inequality and the existence and uniqueness of its solution are yielded. This provides the theoretical basis for using boundary element method to solve the mixed vuriational inequality.     

期权定价问题的数值方法

本文研究以股票为标的资产的美式看跌期权定价问题的数值方法,即有限元方法。通过将所考虑的问题转化为等价的变分不等式,并利用积分恒等式与超逼近分析技术,得到了半离散有限元方法的最优L~2-模与L~∞-模的误差估计。     

LOCAL CLASSICAL SOLUTION OF FREE BOUNDARY PROBLEM FOR A COUPLED SYSTEM

This paper considers a two-phase free boundary problem for coupled system including one parabolic equation and two elliptic equations. The problem comes from the discussion of a growth model of self-lnaintaining protocell in multidimensional case. The local classical solution of the problem with free boundary F : y = g(x,t) between two domains is being seeked. The local existence and uniqueness of the problem will be proved in multidimensional case.     

REGULARITY OF THE FREE BOUNDARY FOR SOME ELLIPTIC AND PARABOLIC PROBLEMS. II

In this paper we extend the results of the first one to solutions of some obstacle problem in the semilinear elliptic case that are used as a model for a gas problem. More precisely, we prove that the points of the free boundary, where the zero set has no density, lie in a Lipschitz surface. Furthermore, we get the C ¹ regularity for singular points with some (n ? 1)-density.

We also investigate the free boundary at points with density. We show that the set of these points is locally a C ¹ surface. This result is an extension of those achieved by Alt and Phillips [3] Alt, H. W. and Phillips, D. 1986. A free boundary problem for semilinearelliptic equations. J. Reine Angew. Math., 368: 63–107.  [Google Scholar], where it is used a concept stronger than the “density” applied here.     

REGULARITY OF THE FREE BOUNDARY FOR SOME ELLIPTIC AND PARABOLIC PROBLEMS. I

We study the free boundary of solutions to some obstacle problems in the elliptic and parabolic cases. In the one-phase Stefan problem, the parabolic case, we prove that the points where the zero set has no density lie in a Lipschitz surface in space and time.

For some fully nonlinear elliptic equations of second order, we get similar results.

Furthermore, we prove the C ¹ regularity for singular points with some (n ? 1)-dimensional density.     

一类退缩非线性自由边值问题弱解的存在唯一性

本文研究了由非牛顿流体流动引起的一类退缩非线性自由边值问题.利用Steklov平均函数、先验估计和极限方法,证明了此自由边值问题存在唯一弱解.     

美式债券期权定价问题的有限元方法

The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H^1 norms.     

美式期权定价问题的变网格差分方法

本文提出一种求解美式期权定价自由边值问题的变网格差分方法.通过建立一个自由边界所满足的方程,利用变网格技术可同时求出期权的差分解和最佳执行边界.本文分别讨论了显式和隐式变网格差分格式,并给出了差分解的收敛性和稳定性分析.数值实验表明本文算法是一个非常有效的期权定价算法.     

LOCAL EXISTENCE OF SOLUTION TO FREE BOUNDARY VALUE PROBLEM FOR COMPRESSIBLE NAVIER-STOKES EQUATIONS

This paper is concerned with the free boundary value problem for multidimensional Navier-Stokes equations with density-dependent viscosity where the flow density vanishes continuously across the free boundary. Local (in time) existence of a weak solution is established; in particular, the density is positive and the solution is regular away from the free boundary.     

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 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.     

ASYMPTOTIC BEHAVIOR OF SOLUTIONS TOWARD THE SUPERPOSITION OF CONTACT DISCONTINUITY AND SHOCK WAVE FOR COMPRESSIBLE NAVIER-STOKES EQUATIONS WITH FREE BOUNDARY

A free boundary problem for the one-dimensional compressible Navier-Stokes equations is investigated.The asymptotic behavior of solutions toward the superposition of contact discontinuity and shock wav...     

利用边界元法求解一类重调和方程

边界元法(BEM)和多重互易法(MRM)相结合求解一类重调和方程.通过重调和基本解序列给出的MRM-方法和BEM, 推导出该类问题的MRM-边界变分方程, 用边界元法求解该变分方程, 从而得到重调和方程的近似解, 并给出了解的存在唯一性证明.通过数值算例说明了MRM-方法具有收敛速度快、计算精度高, 易编程等优点, 为使用边界元法数值求解重调和方程提供了方法和理论依据.适合于工程中的实际运算.     

奇异非线性二阶三点边值问题正解的存在唯一性

本文研究了一类奇异非线性二阶三点边值问题，通过摄动技巧和比较原理获得了所论问题正解的存在唯一性。     

REGULARITY THEORY FOR SYSTEMS OF PARTIAL DIFFERENTIAL EQUATIONS WITHN EUMANN BOUNDARY CONDITIONS

Inroductlonu consider here a system