some properties for the american option-pricing model美国期权定价模型的一些性质.pdf

Journal of Mathematical Finance, 2012, 2, 243-250 /10.4236/jmf.2012.23027 Published Online August 2012 (http://www.SciRP.org/journal/jmf) Some Properties for the American Option-Pricing Model Hong-Ming Yin Department of Mathematics, Washington State University, Pullman, USA Email: hyin@ Received March 24, 2012; revised April 26, 2012; accepted May 6, 2012 ABSTRACT In this paper we study global properties of the optimal excising boundary for the American option-pricing model. It is shown that a global comparison principle with respect to time-dependent volatility holds. Moreover, we proved a global regularity for the free boundary. Keywords: American Option Model; Regularity of Free Boundary; Comparison Principle 1. Introduction merical computations for the location of free boundary are also carried out by many people (see, for examples, It is well-known that, for the American option-pricing [14,25-28] and the references therein). More recently, model, there is an optimal holding region for contracts some global property of the free boundary attracts some holders (see [1-5]). The part of the boundary for the re- interest. The authors of [29,30] proved that the free gion is unknown (free boundary), which is often referred boundary is convex if