| 美式期权定价问题的数值方法 |
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| 引用本文： | 张铁.美式期权定价问题的数值方法[J].应用数学学报,2002,25(1):113-122. |
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| 作者姓名： | 张铁 |
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| 作者单位： | 东北大学数学系,沈阳,110006 |
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| 基金项目： | 教育部高校骨干教师基金资助项目． |
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| 摘 要： | 本文研究美式股票看跌期权定价问题的数值方法。通过将问题转化为等价的变分不等式方程，分别建立了半离散和全离散有限元逼近格式。并给出了有限元解的收敛性和稳定性分析。数值实验表明本文算法是一个高效和收敛的算法。
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| 关 键 词： | 美式期权定价问题 数值方法 美式看跌期权 变分不等式 有限元逼近 收敛性 期权市场 股票 |
THE NUMERICAL METHODS FOR AMERICAN OPTION PRICING |
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| ZHANG TIE.THE NUMERICAL METHODS FOR AMERICAN OPTION PRICING[J].Acta Mathematicae Applicatae Sinica,2002,25(1):113-122. |
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| Authors: | ZHANG TIE |
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| Abstract: | The aim of this paper is to investigate the American stock put option pricing problems by finite element methods. Both semidiscrete and fully discretized finite element approximation schemes are established for the variational inequality equations derived from the option pricing problems. It is proved that the numerical methods are stable and con- vergent Under L2 and H1 norms. Numerical examples show the convergence and efficiency of our algorithm. |
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| Keywords: | American put option variational inequality finite element approximation stable and convergence |
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