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.     

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．     

美式期权自由边界的计算方法

美式期权的自由边界问题在金融工程文献中已经引起了广泛的关注,然而,它的数值计算方法一直是一个难点.基于差分技巧,给出了满足具有有限到期日的美式期权自由边界的两种计算方法,即,根据股票期权价格和相应的偏导数来确定自由边界条件.数值结果表明了上述两种方法下自由边界是一致性的.此外研究结果对自由边界的计算提供很好的科学依据.     

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。     

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。     

非稳态渗流的自由边界问题

随着经济建设的高速发展,各种地下工程大量增加,如水坝和高层建筑的基础、地铁和隧道、水井和油井等。那里,介质中的渗流现象往往是工程单位需要考虑的重要问题。佘颖禾等在《应用数学和力学》第17卷6期中曾经给出了具有自由边界的稳态渗流的变分不等式模式及有限元解。本文中,以抽水井为例,进一步研究了非稳态渗流问题的变分不等式模式及其有限元解法。结果表明,对于非稳态的渗流问题,这种方法同样能避免传统的自由边界的迭代过程,为简单而快速地进行数值分析提供方便。     

美式期权定价的数值方法

介绍了定价美式期权的几种常见数值方法.对最近几年的主要研究成果做了简单的介绍和比较,并给出了数值算例.特别回顾了美式期权定价的蒙特卡罗模拟加速方法.     

跳扩散模型下的俄式博弈期权定价

博弈期权是由Kifer引进的,本质上是美式期权的一种,它使买卖双方都有权在到期日前的任何时刻中止合约来维护自己的权益.本文考虑的市场不完备,对一种和俄罗斯期权有关的博弈期权,在股票价格过程满足一种特定的跳扩散模型下,通过求解Stefan问题,得到了其价格的明确表达式.     

美式期权定价中非局部问题的有限元方法

在本文中 ,我们关心的是美式期权的有限元方法 .首先 ,根据 [4 ]我们对所讨论的问题引进一个新奇的实用的方法 ,它涉及到对原问题重新形成准确的数学公式 ,使得数值解的计算可以在非常小的区域上进行 ,从而该算法计算速度快精度高 .进而 ,我们利用超逼近分析技术得到了有限元解关于 L2 -模的最优估计 .     

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.     

连续铸钢中的一类周期自由边界问题

本文讨论了连续铸钢中的一类周期自由边界问题,证明了周期古典解的存在性,唯一性和稳定性。     

A Free Boundary Problem Arising in Smoulder Combustion

The smouldering combustion is modeled as a free boundary problem here. By using the Duvaut's transform, the problem is reduced to a variational inequality. Existence and uniqueness are established. Tbe properties of the free boundary are studied in various cases. The asymptotic behavior of the free boundary with respect to the parameter is rigorously proved, which confirms the result of a previous work by J. Adler and D. M. Herbert, obtained by using asymptotic expansion. Furthermore, we show that the time dependent problem will actually converge to a travelling wave solution if the boundary data converge to the corresponding travelling wave solution.     

由退化抛物型方程产生的常微分方程一种自由边界问题

Assume B∈C[0,+∞)∩C¹(0,+∞) and B(υ) is strictly increasingand concave. That the free boundary Problem for ODE     

Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation

In this paper, we present a power penalty function approach to the linear complementarity problem arising from pricing American options. The problem is first reformulated as a variational inequality problem; the resulting variational inequality problem is then transformed into a nonlinear parabolic partial differential equation (PDE) by adding a power penalty term. It is shown that the solution to the penalized equation converges to that of the variational inequality problem with an arbitrary order. This arbitrary-order convergence rate allows us to achieve the required accuracy of the solution with a small penalty parameter. A numerical scheme for solving the penalized nonlinear PDE is also proposed. Numerical results are given to illustrate the theoretical findings and to show the effectiveness and usefulness of the method. This work was partially supported by a research grant from the University of Western Australia and the Research Grant Council of Hong Kong, Grants PolyU BQ475 and PolyU BQ493.     

A Note on a Moving Boundary Problem Arising in the American Put Option

We consider an American put option, under the Black–Scholes model. This corresponds to a moving boundary problem for a PDE. We convert the problem to a nonlinear integral equation for the moving boundary, which corresponds to the optimal exercise of the option. We use singular perturbation methods to compute the moving boundary, as well as the full solution to the PDE, in various asymptotic limits. We consider times close to the expiration date, as well as systems where the interest rate is large or small, relative to the volatility of the asset for which the option is sold.     

A One-Dimensional Parabolic Problem Arising in Studies of Some Free Boundary Problems

The paper is concerned with a one-dimensional parabolic problem in a domain bounded by two lines x = 0 and x = kt, k > 0, (x, t) ², with the Neumann boundary condition on the line x = 0 and with dynamic boundary condition on the line x = kt. For the solution of this problem, a coercive estimate in a weighted Hölder norm is obtained. It is shown that this estimate can be useful for the analysis of parabolic free boundary problems. Bibliography: 7 titles.     

液态金属流的表面张力问题中的两点边值问题解的存在性

本文讨论了在区域提纯过程中，研究液态金属流的表面张力时提出的一个带有非负参数Ｑ的两点边值问题．利用上、下解方法和Ｓｃｈａｕｄｅｒ不动点定理，证明了当０Ｑ８５１时，该问题至少有一个解，对已有结果０Ｑ＜１进行了重要的改进．     

A Moving Boundary Problem Arising from the Diffusion of Oxygen in Absorbing Tissue

Approximate analytical and numerical solutions of a partialdifferential equation are obtained which describe the diffusionof oxygen in an absorbing medium. Essential mathematical difficultiesare associated with the presence of a moving boundary whichmarks the furthest penetration of oxygen into the medium andalso with the need to allow for an initial distribution of oxygenthrough the medium.     

一个反应扩散方程的自由边界问题

该文研究了一个描述原细胞生长的反应扩散方程的自由边界问题.利用非线性分析中的线性化思想和偏微分方程的估计理论,证明了该自由边界问题局部古典解的存在唯一性.