| 基于拉普拉斯变换有限差分方法的B-S期权定价 |
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| 引用本文： | 蒋致远,张 跳,龚闪闪. 基于拉普拉斯变换有限差分方法的B-S期权定价[J]. 经济数学, 2014, 0(3): 18-22 |
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| 作者姓名： | 蒋致远 张 跳 龚闪闪 |
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| 作者单位： | [1]桂林电子科技大学商学院; [2]桂林电子科技大学数学与计算科学学院,广西桂林541004 |
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| 基金项目： | 广西教育厅基金项目（1d08060y） |
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| 摘 要： | 提供了一种基于自适应拉普拉斯变换有限差分方法来解决Black-Scholes期权定价问题.相比较于传统的时间推进法,此方法在保证较高精确度和很好的收敛性的同时,还可以减少计算时间.这一精确有效的方法将通过数值实验来验证.
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| 关 键 词： | 拉普拉斯变换 有限差分 Black-Scholes 方程 欧式期权 |
Laplace Transform Based Finite Difference Method for Black-Scholes Option Pricing |
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| JIANG Zhi-yuan,ZHANG Tiao,GONG Shan-shan. Laplace Transform Based Finite Difference Method for Black-Scholes Option Pricing[J]. Mathematics in Economics, 2014, 0(3): 18-22 |
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| Authors: | JIANG Zhi-yuan ZHANG Tiao GONG Shan-shan |
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| Affiliation: | JIANG Zhi-yuan, ZHANG Tiao, GONG Shan-shan (1. School of Business, C, uilin University of Electronic Technology ,Gulin, Guangxi; 2. School of Mathematic and Computing Science, C, uilin University of Electronic Technology , Cruilin, Guangxi 541004 China) |
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| Abstract: | This paper provids an adaptive Laplace transform finite difference method to solve the problem of Black-Scholes option pricing.Comparing to the traditional time marching methods,this method not only can guarantee higher accuracy and very good conver-gence,but also can reduce the computation time,whose accuracy and efficiency are shown by numerical experiments. |
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| Keywords: | Laplace transform finite difference Black-Scholes equation European option |
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