| 美式债券期权定价问题的有限元方法 |
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| 引用本文： | 张铁.美式债券期权定价问题的有限元方法[J].计算数学,2004,26(3):277-284. |
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| 作者姓名： | 张铁 |
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| 作者单位： | 东北大学数学系,沈阳,110004 |
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| 摘 要： | The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H^1 norms.
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| 关 键 词： | 有限元逼近 美式期权定价问题 变分不等式 有限元 变量代换 |
A FINITE ELEMENT METHOD FOR PRICING AMERICAN OPTION ON BONDS |
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| Zhang Tie.A FINITE ELEMENT METHOD FOR PRICING AMERICAN OPTION ON BONDS[J].Mathematica Numerica Sinica,2004,26(3):277-284. |
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| Authors: | Zhang Tie |
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| Institution: | Zhang Tie (Department of Mathematics, Northeastern University, Shenyang, 110004) |
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| Abstract: | The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H1 norms. |
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| Keywords: | American bond option variational inequality finite element approximation stability and convergence |
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