CEV模型下两值期权的数值解

Numerical Solution for Binary Option Following Constant Elasticity of Variance Model

假设标的股价服从不变方差弹性(CEV)模型下,推导出两值期权的定价公式。利用有限差分格式,给出具体的数值算法,并将其应用于实例中,通过对此算例做的一系列数值实验,验证了算法的有效性。

Suppose that underlying asset follows Constant Elasticity of Variance model（CEV）.We derive pricing formula of binary option. Using finite difference method, we obtain an algorithm. Then numerical examples are provided which indicate the validity of the algorithm.