| 期权定价的小波方法 |
| |
| 引用本文： | 闫桂芳,杜雪樵.期权定价的小波方法[J].大学数学,2007,23(5):70-74. |
| |
| 作者姓名： | 闫桂芳 杜雪樵 |
| |
| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009 |
| |
| 摘 要： | 基于Daubechies正交小波,对微分算子进行小波近似,从而求解Black-Scholes方程,为期权定价提出了一种新的尝试.通过偏微分算子和小波系数的稀疏化,相对二叉树法,大大减少了计算量,提高了运算速度.
|
| 关 键 词： | 欧式期权 执行价格 看涨期权 正交小波 |
| 文章编号： | 1672-1454（2007）05-0070-05 |
| 修稿时间： | 2005-11-12 |
The Wavelet Method of Options Pricing |
| |
| YAN Gui-fang,DU Xue-qiao.The Wavelet Method of Options Pricing[J].College Mathematics,2007,23(5):70-74. |
| |
| Authors: | YAN Gui-fang DU Xue-qiao |
| |
| Institution: | College of Mathematics, Hefei University of Technology, Hefei Anhui 230009, China |
| |
| Abstract: | The author use wavelet function to approximate the difference operator in wavelet space on the base of Daubechies orthonormal wavelet, then solute Black-Scholes equation.And this paper is devoted to a new try of option pricing.The partial difference operator and wavelet coefficients have sparseness in wavelet domain,which decreases computational complexity compared with the binary tree method. |
| |
| Keywords: | European option exercise price call option orthonormal wavelet |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
