| 规定水平下重置期权的有限差分解 |
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| 引用本文： | 朱盛,班涛,何华飞.规定水平下重置期权的有限差分解[J].纯粹数学与应用数学,2013(4):350-358. |
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| 作者姓名： | 朱盛 班涛 何华飞 |
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| 作者单位： | 河南理工大学数学与信息科学学院,河南 焦作,454003 |
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| 基金项目： | 国家自然科学基金，河南省教育厅科学技术研究重点项目，应用数学省级重点学科 |
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| 摘 要： | 利用Black—Scholes偏微分方程，结合重置期权与关卡期权的关系，建立了规定水平下的重置期权定价模型，最后运用C—N格式和θ法构造该模型的有限差分格式．
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| 关 键 词： | 重置期权 期权定价 C—N差分格式 θ法 |
Finite differential solutions of level-required reset option |
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| Zhu Sheng
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Ban Tao
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He Huafei.Finite differential solutions of level-required reset option[J].Pure and Applied Mathematics,2013(4):350-358. |
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| Authors: | Zhu Sheng Ban Tao He Huafei |
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| Institution: | (School of Mathematics and Information Science, Henan Polytechnic University, Jiaozuo 454003, China) |
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| Abstract: | Based on the relation between barrier options and reset options, the pricing model of the level-required reset option can be established by using the Black-Scholes partial differential equation. Finally, the paper builds finite differential schemes of the model by the C-N scheme and-method. |
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| Keywords: | reset options option pricing C-N differential scheme θ-method |
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