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1.
综合应用Δ对冲技巧以及It引理,在风险中性意义的前提下建立了房产开发商"降价补差"承诺期权的偏微分方程定价模型.根据"降价补差"承诺能否在到期前任何一天履约,分别建立了欧式承诺期权定价模型和美式承诺期权定价模型.对于欧式承诺期权,得到了期权价格的解析公式;对于美式承诺期权,采用基于自适应的有限差分法对上述定价模型进行数值计算,得到了相应的期权价格.并以欧式承诺期权为例,分析了期权价格对参数的依赖关系.最后对两个具体的"降价补差"承诺期权案例进行了期权价格计算.  相似文献   

2.
在时间和空间上基于有限差分法和利用待定系数法,构造了一维空间分数阶扩散方程的一个新的高阶数值格式.在理论上严格证明了此算法的稳定性和一系列的数值算例验证了理论分析的正确性,表明算法是逼近数值解的一个行之有效的方法.  相似文献   

3.
对差分法时程积分的反思   总被引:10,自引:1,他引:9  
以往偏微分方程时间步的数值积分主要由有限差分法来执行,然而当时间步长较大时会引起数值不稳定性。本文给出的单点精细积分法导出的显式积分格式可证明是无条件稳定的。就扩散方程与对流─扩散方程作出了本文方法与差分法导出的格式之间的对比。数值例题也表明了单点积分法的优越性。  相似文献   

4.
《大学数学》2015,(6):33-37
文章主要研究分数CIR利率模型下,标的资产股票价格服从分数跳-扩散过程的欧式回望期权定价问题.利用无套利原理和分数It公式,建立期权定价模型,得到了期权价格所满足的偏微分方程.并利用有限差分方法,给出了微分方程隐式格式的数值解,最后通过数值实验验证了该方法的有效性,推广了已有的回望期权定价理论.  相似文献   

5.
甘小艇 《计算数学》2021,43(3):337-353
本文主要研究状态转换下欧式Merton跳扩散期权定价模型的拟合有限体积方法.针对该定价模型中的偏积分-微分方程,空间方向采用拟合有限体积方法离散,时间方向构造Crank-Nicolson格式.理论证明了数值格式的一致性、稳定性和单调性,因此收敛至原连续问题的解.数值实验验证了新方法的稳健性,有效性和收敛性.  相似文献   

6.
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.  相似文献   

7.
从算术平均和Taylor展式、梯形公式和中矩形公式这两个角度出发,对有限差分法的Crank-Nicolson(C-N)格式截断误差进行了新的解读,推导角度和过程让学生更能接受其误差为O(k~2)+O(h~2),而不是O(k)+O(h~2).本文的思路对学生理解C-N格式的误差,并进一步将思想推广到其他数值格式具有借鉴作用.  相似文献   

8.
刘兆鹏 《运筹与管理》2022,31(2):205-208
不确定金融是不确定理论在现代金融领域的一种应用,在解决金融问题中发挥着越来越重要的作用。而利率是一个重要的经济指标,经常受到一些不确定因素的影响,在研究期权定价时,有必要考虑浮动利率。本文提出了一种新的不确定指数Ornstein-Uhlenbeck过程模型,假设利率服从不确定均值回复过程,研究了期权定价问题,运用α-轨道方法,分别推导了亚式看涨期权和看跌期权定价公式。最后,设计了计算期权价格的数值算法,并给出数值算例。  相似文献   

9.
本文对于一类带有狄拉克函数δ0初值的抛物型方程,在有限差分法下进行离散化,证明了其数值解的存在性、唯一性,尤其是它的稳定性.  相似文献   

10.
对流体润滑的压力控制方程,在有限差分法的基础上,通过对SOR超松弛因子和迭代精度的选择,采用SOR逐次超松弛迭代法对控制方程进行了数值求解.在保证方程求解精度的基础上,还具有收敛快、稳定性好,计算工作量小等特点.  相似文献   

11.
讨论了一类具有积分边界条件的二阶常微分方程非局部边值问题的数值解.对非局部积分边界条件采用了离散的多点边值问题进行逼近,通过常系数情况下解的局部性质,建立了这类边值问题的指数型差分格式,并且给出了格式的误差分析,证明了格式是一致收敛的.  相似文献   

12.
We are interested in numerical methods for the Liouville‐Bratu‐Gelfand problem. The ideas and techniques developed here to construct the schemes are inspired from the fitted method and the so‐called compact exponentially fitted method. Some of those schemes can be viewed as extensions of both the Buckmire scheme and the standard scheme which results from the use of the standard finite‐difference procedures. We study and compare computationally the accuracy of methods introduced here. It is also mentioned that the Buckmire's techniques and the standard scheme are a particular case of the fitted method. © 2005 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2006  相似文献   

13.
In this paper, numerical solution of the Burgers–Huxley (BH) equation is presented based on the nonstandard finite difference (NSFD) scheme. At first, two exact finite difference schemes for BH equation obtained. Moreover an NSFD scheme is presented for this equation. The positivity, boundedness and local truncation error of the scheme are discussed. Finally, the numerical results of the proposed method with those of some available methods compared.  相似文献   

14.
研究了具有非局部边界的奇异摄动问题。对于正的小摄动参数,其解显示出边界层特性。为了求解该问题,构造了非等距网格上的指数型有限差分。还给出了小参数时的一致收敛性分析,同时给出了一个数值例子。  相似文献   

15.
We consider a class of singularly perturbed elliptic problems posed on a unit square. These problems are solved by using fitted mesh methods by many researchers but no attempts are made to solve them using fitted operator methods, except our recent work on reaction–diffusion problems [J.B. Munyakazi and K.C. Patidar, Higher order numerical methods for singularly perturbed elliptic problems, Neural Parallel Sci. Comput. 18(1) (2010), pp. 75–88]. In this paper, we design two fitted operator finite difference methods (FOFDMs) for singularly perturbed convection–diffusion problems which possess solutions with exponential and parabolic boundary layers, respectively. We observe that both of these FOFDMs are ?-uniformly convergent. This fact contradicts the claim about singularly perturbed convection–diffusion problems [Miller et al. Fitted Numerical Methods for Singular Perturbation Problems, World Scientific, Singapore, 1996] that ‘when parabolic boundary layers are present, …, it is not possible to design an ?-uniform FOFDM if the mesh is restricted to being a uniform mesh’. We confirm our theoretical findings through computational investigations and also found that we obtain better results than those of Linß and Stynes [Appl. Numer. Math. 31 (1999), pp. 255–270].  相似文献   

16.
主要研究了一类状态转换下美式跳扩散期权定价模型的修正Crank-Nicolson拟合有限体积法并且给出收敛性分析.文章所构造的新方法是对[Gan X T,Yin J F,Li R,Fitted finite volume method for pricing American options under regime-switching.jump-diffusion models based on penalty method.Adv.Appl.Math.Mech.,2020,12(3):748-773]中时间方向上Crank-Nicolson格式的改进.同时,还对求解非线性系统迭代方法的收敛性证明进行了补充.最后,数值实验验证了新方法的有效性.  相似文献   

17.
In this paper, we combine the unified and the explicit exponential finite difference methods to obtain both analytical and numerical solutions for the Newell-Whitehead-Segel–type equations which are very important in mathematical biology. The unified method is utilized to obtain various solitary wave solutions for these equations. Numerical solutions of the specific case studies are investigated by using the explicit exponential finite difference method ensures the accuracy and reliability of the proposed scheme. After obtaining the approximate solutions, convergence analysis and error estimation (the error norms and absolute errors) are presented by comparing these results with the analytical obtained solutions and other methods in the literature through tables and graphs. The obtained analytical and numerical results are in good agreement.  相似文献   

18.
In this paper, we present an optimal 25-point finite difference scheme for solving the Helmholtz equation with perfectly matched layer (PML) in two dimensional domain. Based on minimizing the numerical dispersion, we propose the refined choice strategy for choosing optimal parameters of the 25-point finite difference scheme. Numerical experiments are given to illustrate the improvement of the accuracy and the reduction of the numerical dispersion.  相似文献   

19.
This paper studies the Neimark–Sacker bifurcation of a diffusive food‐limited model with a finite delay and Dirichlet boundary condition by the backward Euler difference scheme, Crank‐Nicolson difference scheme, and nonstandard finite‐difference scheme. The existence of Neimark‐Sacker bifurcation at the equilibrium is obtained. Our results show that Crank‐Nicolson and nonstandard finite‐difference schemes are superior to the backward Euler difference scheme under the means of describing approximately the dynamics of the original system. Finally, numerical examples are provided to illustrate the analytical results. Copyright © 2015 John Wiley & Sons, Ltd.  相似文献   

20.
In this paper, we devote ourselves to establishing the unconditionally stable and absolutely convergent classical finite difference Crank‐Nicholson (CN) implicit (CFDCNI) scheme and optimized finite difference CN‐extrapolated implicit (OFDCNEI) scheme containing very few degrees of freedom but holding fully second‐order accuracy for the two‐dimensional viscoelastic wave via the proper orthogonal decomposition technique, analyzing the existence, stability, and convergence of the CFDCNI and OFDCNEI solutions, and using the numerical simulations to verify that the OFDCNEI scheme is far more superior than the CFDCNI scheme.  相似文献   

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