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摘要
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-infinity-smoothness of the exercise boundary are proved in this paper.
- 出版日期2008-3
- 单位华南师范大学
