摘要
基于Black-Scholes模型,采用指数拟合有限差分法与外推的指数拟合有限差分法对美式看跌期权价值进行了数值计算,对这两种数值方法及其与已往的显式、隐式、C-N等有限差分的优缺点进行了比较,并给出数值算例,通过对此算例做的一系列数值试验,验证了算法的有效性,并得到了一些在期权交易的实际操作中有用的结果.
Based on Black-Scholes model, firstly, presents two kinds of finite difference scheme of pricing for American put options. The finite difference includes exponential fitted finite difference scheme and extrapolated exponential fitted finite difference scheme. Secondly, a numerical example is given and the validity of the two kinds of algorithm is checked by a series of experiments. Finally, The advantages and disadvantages of the two kinds of numerical method are discussed. In addition, The speed and accuracy of the procedure are compared against existing methods as well. And some useful results are obtained for its application in the option markets.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第24期33-38,共6页
Mathematics in Practice and Theory
基金
国家自然科学基金(10971224
11171349)
河北省青年基金(A2010000346)
关键词
美式看跌期权
指数拟合有限差分法
外推的指数拟合有限差分法
American put options
exponential fitted finite difference scheme
extrapolatedexponential fitted finite difference scheme
