| 美式看跌期权定价中的小波方法 |
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| 引用本文： | 李东,金朝嵩.美式看跌期权定价中的小波方法[J].经济数学,2003,20(4):25-30. |
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| 作者姓名： | 李东 金朝嵩 |
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| 作者单位： | 重庆大学数理学院,400044 |
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| 摘 要： | 本文采用有限差分格式和 Daubechies正交小波 ,提出了一种求解 Black- Scholes方程数值解新算法 .为美式看跌期定价提供了一条新的途径 .利用小波基的自适应性和消失矩特性 ,使偏微分算子矩阵和小波级数稀疏化 ,大大减少了计算量 .
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| 关 键 词： | 美式看跌期权 有限差分格式 小波级数 多分辨分析 稀疏化 自适应性 |
| 修稿时间： | 2003年4月2日 |
WAVELET METHOD TO PRICE AMERICAN PUT OPTIONS |
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| Li Dong,Jin Chaosong.WAVELET METHOD TO PRICE AMERICAN PUT OPTIONS[J].Mathematics in Economics,2003,20(4):25-30. |
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| Authors: | Li Dong Jin Chaosong |
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| Abstract: | This paper is devoted to a new computational algorithm of numerical solution of B1ack-Scholes equation,applying the finite difference scheme and the orthonormal compactly supported wavelet transform approximarion.A new method is proposed to price American Put Options.Due to adaptive and vanishing moment property of wavelec basis,the difference operator and solution vector and wavelet series have sparseness in wavelet domain,decreasing computational complexity greatly. |
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| Keywords: | American Put Option finite difference scheme wavelet series multireso1ution analysis sparseness adaptive and vanishing moment property |
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