| 具有跳扩散的美式期权二叉树计算格式的收敛速率 |
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| 引用本文： | 梁进. 具有跳扩散的美式期权二叉树计算格式的收敛速率[J]. 高等学校计算数学学报, 2008, 30(1): 76-96 |
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| 作者姓名： | 梁进 |
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| 作者单位： | 同济大学数学系,上海,200092 |
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| 摘 要： | American put option with jump-diffusion can be modelled as a vari- ational inequality problem with an integral term.Under the stability condition (σ~2Δt)/(Δx~2)≤1,whereΔx=ln(S_n 1)/(S_n),the convergence rate O((Δx)~(2/3) (Δt)~(1/3))of the explicit finite scheme for this problem is obtained by using penalization technique. The binomial tree scheme of this model,which is equivalent to the explicit scheme, is convergent by the same rate.
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| 关 键 词： | American options jump diffusion convergence rate error estimate explicit difference scheme binomial tree method integro-differential equation. 跳扩散 期权二叉树 计算格式 收敛速率 AMERICAN OPTION SCHEME BINOMIAL TREE convergent equivalent explicit binomial tree model finite scheme penalization technique rate stability condition American option |
| 修稿时间： | 2007-02-28 |
ON THE CONVERGENCE RATE OF THE BINOMIAL TREE SCHEME FOR AN AMERICAN OPTION WITH JUMP-DIFFUSION |
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| Liang Jin. ON THE CONVERGENCE RATE OF THE BINOMIAL TREE SCHEME FOR AN AMERICAN OPTION WITH JUMP-DIFFUSION[J]. Numerical Mathematics A Journal of Chinese Universities, 2008, 30(1): 76-96 |
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| Authors: | Liang Jin |
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| Abstract: | American put option with jump-diffusion can be modelled as a vari-ational inequality problem with an integral term.Under the stability conditionσ2△t/△x2≤1,where △x=lnSn+1/Sn,the cnvergence rate O((△)2/3+(△t1/3)of theexplicit finite scheme for this problem is obtained by using penalization technique.The binomial tree scheme of this model,which is equivalent to the explicit scheme,is convergent by the same rate. |
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| Keywords: | American options jump diffusion convergence rate error estimate explicit difference scheme binomial tree method integro-differential equation |
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