| 随机波动率的美式期权定价 |
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| 引用本文： | 梅正阳,李楚霖.随机波动率的美式期权定价[J].经济数学,2002,19(1):1-7. |
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| 作者姓名： | 梅正阳 李楚霖 |
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| 作者单位： | 华中科技大学数学系,武汉,430074 |
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| 基金项目： | Financial supportfrom the National Natural Science Foundation of China( grant70 0 71 0 1 2 ) |
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| 摘 要： | 本文利用随机波动率状态有限Markov链,通过有限差分方法计算美式期权的价值.这种方法既避免了建立复杂的随机波动率模型,又较大程度地改进了常数波动率的计算结果,获得与真实结果比较接近数值解,推广了二项式概率树模型.
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| 关 键 词： | Markov过程 美式期权 有限差分 随机波动率 |
THE VALUATION OF AMERICAN PUT OPTIONS WITH STOCHASTIC VOLATILITY |
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| Abstract.THE VALUATION OF AMERICAN PUT OPTIONS WITH STOCHASTIC VOLATILITY[J].Mathematics in Economics,2002,19(1):1-7. |
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| Authors: | Abstract |
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| Abstract: | In this paper, by using finite difference method, set up the valuation of American put option model with stochastic volatility of finite Markov chains, obtained the values of American put option, that improved the results of constant volatility model and binomial probability tree model. The illustration shows that the value calculated by our model and algorithm approaches the real price closer more. |
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| Keywords: | Markov process American option Finite difference Risk neutral |
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