| Black-Scholes期权定价方程的自适应小波算法 |
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| 引用本文： | 贾尚晖,李华.Black-Scholes期权定价方程的自适应小波算法[J].数学的实践与认识,2010,40(10). |
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| 作者姓名： | 贾尚晖 李华 |
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| 基金项目： | 中央财经大学121人才工程青年博士发展基金，中央财经大学211工程专项基金 |
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| 摘 要： | 研究Black-Scholes期权定价方程的自适应算法,对Black-Scholes方程设计插值小波配点离散格式,然后设计自适应算法,该算法能够自动在一个接近最优的网格上找到B-S模型的解,数值试验表明其高效性.
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| 关 键 词： | 期权 小波 配点 自适应 |
Black-Scholes Option Pricing Equation's Adaptive Wavelet Algorithm |
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| JIA Shang-hui,LI Hua.Black-Scholes Option Pricing Equation's Adaptive Wavelet Algorithm[J].Mathematics in Practice and Theory,2010,40(10). |
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| Authors: | JIA Shang-hui LI Hua |
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| Abstract: | This paper studies the Black-Scholes option pricing equation of the adaptive algorithm,the design of the Black-Scholes equation interpolating wavelet collocation discrete format,and then design the adaptive algorithm,which can automatically close in a grid to find the optimal solution of the model value of BS tests showed its efficiency. |
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| Keywords: | options wavelet collocation adaptive |
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