| CEV模型下美式期权的差分算法 |
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| 引用本文： | 丁华. CEV模型下美式期权的差分算法[J]. 大学数学, 2008, 24(4) |
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| 作者姓名： | 丁华 |
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| 作者单位： | 安徽财经大学,统计与应用数学学院,蚌埠,233030 |
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| 基金项目： | 安徽省高校青年教师人文社科项目科研项目 |
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| 摘 要： | 假设标的股价服从不变方差弹性(CEV)模型下,推导出美式看跌期权所遵循的变分不等方程.利用显式有限差分格式,给出具体的数值算法,并对格式的适定性进行分析,最后将其应用于实例,验证了算法的有效性.
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| 关 键 词： | CEV模型 美式看跌期权 显式差分法 相容性 稳定性 |
The Differential Algorithm for American Put Option Following Constant Elasticity of Variance Model |
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| DING Hua. The Differential Algorithm for American Put Option Following Constant Elasticity of Variance Model[J]. College Mathematics, 2008, 24(4) |
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| Authors: | DING Hua |
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| Abstract: | Suppose that the price of underlying asset follows Constant Elasticity of Variance model(CEV).We derive the variational inequality equations with which American put option schemes complied.We propose an algorithm based on explicit finite difference method,and then analyze its well-posed problems.Numerical example shows efficiency and convergence of the algorithm. |
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| Keywords: | CEV model American put option explicit difference method consistence stability |
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