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高校应用数学学报
Applied Mathematics A Journal of Chinese Universities  2015, Vol. 30 Issue (1): 43-54    DOI:
    
The nonlinear variational inequality problem arising from American barrier option
SUN Yu-dong, WANG Xiu-fen
School of Science, Guizhou Minzu University, Guiyang 550025, China
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Abstract  In this text, the nonlinear variational inequality problem which arises from the valuation of American barrier option is studied. Firstly, the weak solution of the variational inequality is defined. Secondly, the existence and uniqueness of the solutions in the weak sense are proved by using the Schaefer fixed point theory and penalty method.

Key words： nonlinear variational inequality      weak solution      Schaefer fixed point theory      penalty method     
Received: 25 November 2014      Published: 06 June 2018
CLC:  O211.6  
  F830.9  
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SUN Yu-dong
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Cite this article:

SUN Yu-dong, WANG Xiu-fen. The nonlinear variational inequality problem arising from American barrier option. Applied Mathematics A Journal of Chinese Universities, 2015, 30(1): 43-54.

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http://www.zjujournals.com/amjcua/     OR     http://www.zjujournals.com/amjcua/Y2015/V30/I1/43


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.

关键词： 非线性变分不等式,  弱解,  Schaefer不动点定理,  惩罚方法 
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