| 有红利美式看跌期权定价的Crank-Nicolson有限差分法 |
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| 引用本文： | 唐耀宗,金朝嵩.有红利美式看跌期权定价的Crank-Nicolson有限差分法[J].经济数学,2006,23(4):349-352. |
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| 作者姓名： | 唐耀宗 金朝嵩 |
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| 作者单位： | 重庆大学数理学院,重庆,400044 |
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| 摘 要： | 本文基于B-S微分方程,采用Crank-Nicolson差分格式(简称C-N差分格式)求解支付固定红利的美式看跌期权价值,给出实证分析,并对C-N差分格式和隐含的差分格式进行了比较.结果表明,用C-N差分格式可以得到更加精确、有效的数值解.
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| 关 键 词： | 美式看跌期权 红利 有限差分方法 |
| 修稿时间： | 2006年6月2日 |
THE APPLICATION OF FINITE DIFFERENCE METHOD IN PRICING CUM DIVIDED AMERICAN PUT OPTIONS |
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| Tang Yaozong,Jin Chaosong.THE APPLICATION OF FINITE DIFFERENCE METHOD IN PRICING CUM DIVIDED AMERICAN PUT OPTIONS[J].Mathematics in Economics,2006,23(4):349-352. |
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| Authors: | Tang Yaozong Jin Chaosong |
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| Abstract: | Based on the B-S differential equation,CN differential scheme is presented to price the cum dividend American put options.Finally,numerical examples are given.The C-N differential scheme and the implicit differential scheme are compared numerically.The numerical results show that the C-N differential scheme is more accurate and valid. |
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| Keywords: | American put options divided finite difference method |
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