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美式看跌期权的加权有限差分法 预览 被引量:3

Pricing American Put Option by Weighting Different Approximation Method
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摘要 建立了标的资产具有连续分红和交易成本的美式看跌期权的定价模型,通过无套利定价原理把该定价模型转化为带边界的变系数偏随机微分方程;采用加权有限差分法求解该变系数偏随机微分方程,计算结果与显式差分法、隐式差分法、Crank-Nicolson差分法等计算结果进行比较,其计算结果比这3种差分法更精确. The paper aims to propose an American option pricing model for the underlying asset that has continuous divided and transaction costs.The model gives a stochastic differential equation with the variable coefficient and free boundary.The weighting different approximation method is used to solve the stochastic differential equation and the results are compared with the results of the forward different approximation method,the backward different approximation method and Crank-Nicolson different approximation method.
作者 张德飞 崔向照 赵金娥 ZHANG De-fei,CUI Xiang-zhao,ZHAO Jin-e (Department of Mathematics,Honghe University,Mengzi 661100,China)
出处 《云南民族大学学报:自然科学版》 CAS 2010年第3期 166-169,共4页 Journal of Yunnan Nationalities University:Natural Sciences Edition
基金 红河学院硕士基金(XSS07001)
关键词 美式看跌期权 显式差分法 隐式差分法 Crank-Nicolson差分法 加权有限差分法 American put option forward different approximation method backward different approximation method Crank-Nicolson different approximation method weighting different approximation method
作者简介 张德飞(1980-),男,硕士,讲师.主要研究方向:金融数学.
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同被引文献12

  • 1李玉立,金朝嵩.美式看跌期权定价的差分格式[J].重庆建筑大学学报,2004,26(4):110-114. 被引量:12
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