| 基于半差分格式的美式看跌期权定价模型数值解法 |
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| 引用本文： | 段国东,周圣武,牛成虎,蒋建.基于半差分格式的美式看跌期权定价模型数值解法[J].四川理工学院学报(自然科学版),2011,24(4):380-382. |
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| 作者姓名： | 段国东 周圣武 牛成虎 蒋建 |
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| 作者单位： | 中国矿业大学理学院,江苏徐州,221008 |
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| 基金项目： | 中央高校基本科研业务费专项资金 |
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| 摘 要： | 主要研究了美式看跌期权定价模型的一种数值解法,利用半差分技术对已构造的偏微分方程做离散处理,并引入四阶Lagrange插值多项式对边界进行拓展,使得所有网格点均在离散域中,数值实例验证了方法的有效性。
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| 关 键 词： | 期权定价 半差分 美式看跌期权 数值解 |
Numerical Solution of American Put Option Pricing Model with Semi-discretization Technique |
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| DUAN Guo-dong,ZHOU Sheng-wu,NIU Cheng-hu,JIANG Jian.Numerical Solution of American Put Option Pricing Model with Semi-discretization Technique[J].Journal of Sichuan University of Science & Engineering:Natural Science Editton,2011,24(4):380-382. |
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| Authors: | DUAN Guo-dong ZHOU Sheng-wu NIU Cheng-hu JIANG Jian |
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| Institution: | (College of Science,China University of Mining and Technology,Xuzhou 221008,China) |
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| Abstract: | Numerical method of American output option pricing model is provided.Partial differential equation which adopted fourth-order Lagrange interpolating polynomial to expand boundary values in order to making all the neighbors mesh internal nodes in domain was discredited by the semi-discretization technique.Numerical results coincide with the theoretical results. |
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| Keywords: | option price semi-discretization technique American put option numerical solution |
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