求解双资产欧式看跌期权定价问题的差分方法

A difference method for solving the two-asset european put option pricing problem

研究了求解双资产极大看跌期权的差分方法.首先通过变换,将无界区域上的期权定价问题转换为偏微分方程的初边值问题,然后构造了一种隐式的差分格式.论证了差分解的惟一存在性,在L_(∝)模意义下差分解的绝对稳定性,并且给出了差分解的误差估计.数值实验验证了所构造差分格式的有效性.

In this paper,a difference method for solving two-asset maximal put options is investigated.Firstly,through transformation,the option pricing problem on unbounded region is transformed into the initial boundary value problem of partial differential equation,and then an implicit difference scheme is constructed.This paper demonstrates the unique existence of the difference solution,the absolute stability of the difference solutionunder the L_(∝)norm,and gives the error estimation of the difference solution.Numerical experiments verify the effectiveness of the constructed differential scheme.