| 连续支付红利的美式障碍期权定价的数值方法 |
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| 引用本文： | 马黎政,金朝嵩. 连续支付红利的美式障碍期权定价的数值方法[J]. 经济数学, 2005, 22(3): 248-253 |
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| 作者姓名： | 马黎政 金朝嵩 |
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| 作者单位： | 重庆大学数理学院,410044;重庆大学数理学院,410044 |
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| 摘 要： | 本文利用显式差分格式为连续支付红利的向下触销型美式障碍期权定价.由于障碍的影响,定价模型的边值条件含有间断,故把结点设在障碍水平上,并在障碍附近的区域内运用局部网格加密技术,这样就可以得到较精确的期权价格.本文给出数值算例,验证算法的有效性,并分析障碍对期权价格的影响.
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| 关 键 词： | 美式看涨期权 向下触销型 显式差分格式 局部网格加密 |
| 修稿时间： | 2004-07-01 |
NUMERICAL METHOD FOR PRICING AMERICAN BARRIER OPTION WITH CONTINUOUS BONUS PAYING |
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| Ma Lizheng,Jin Chaosong. NUMERICAL METHOD FOR PRICING AMERICAN BARRIER OPTION WITH CONTINUOUS BONUS PAYING[J]. Mathematics in Economics, 2005, 22(3): 248-253 |
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| Authors: | Ma Lizheng Jin Chaosong |
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| Abstract: | The paper present a numerical method of pricing for Americal barrier option with continuous bonus paying.The explicit finite differencing scheme is given.As the barrier affecting,there is singularity on the pricing problem's boundary.The crunodes are placed on the barrier,and the part meshes near the barrier are densified for improving the accuracy.In addition,we give some numerical examples to validate the validity of the arithmetic and discuss the effects of barrier level on option price. |
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| Keywords: | American barrier option down and out call explicit diffencing scheme densify part meshes |
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