| CEV过程下回望期权定价的高精度收敛差分算法 |
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| 引用本文： | 袁国军. CEV过程下回望期权定价的高精度收敛差分算法[J]. 大学数学, 2012, 28(2): 68-74 |
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| 作者姓名： | 袁国军 |
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| 作者单位： | 皖西学院经济与管理学院,安徽六安,237012 |
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| 基金项目： | 安徽高等学校省级自然科学研究项目，六安市定向委托皖西学院项目 |
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| 摘 要： | 主要研究了CEV过程下一类回望期权的定价的数值解法问题.首先对期权价格所满足的微分方程中的空间变量进行半离散化处理,得到了具体的半离散化差分格式,然后证明了该差分格式具有稳定性和收敛性.数值试验表明本文算法是一个稳定收敛的算法.
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| 关 键 词： | 回望期权 CEV过程 半离散化 稳定性 收敛性 |
High Accurate Convergent Difference Algorithm for Lookback Options Pricing in the CEV Process |
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| YUAN Guo-jun. High Accurate Convergent Difference Algorithm for Lookback Options Pricing in the CEV Process[J]. College Mathematics, 2012, 28(2): 68-74 |
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| Authors: | YUAN Guo-jun |
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| Affiliation: | YUAN Guo-jun(School of Economy and Management,West Anhui University,Lu’an 237012,China) |
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| Abstract: | This paper mostly studies the numerical solution problem of a class of the lookback options in the constant elasticity of variance(CEV) process.Firstly,obtains the concrete semidiscretization numerical arithmetic scheme of the differential equation,by means of semidiscretization for spatial variable.Then,proves the stability and convergence of the finite difference scheme.Lastly,numerical example shows that the algorithm is a stable and convergent algorithm. |
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| Keywords: | Lookbaek Option CEV process semidiscretization stability convergence |
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