三种数值方法在期权定价中的定量研究

Quantitative Analysis of Three Numerical Procedures in Option Pricing

数值方法在期权定价中的应用已经十分的广泛。文章将对二叉树法、蒙特卡罗模拟和有限差分法三种常用的数值方法的应用作出介绍,并对这三种数值方法各自的优势与缺陷,以及相互之间的联系和区别作出定量分析和研究比较。

It is widespread to use numerical procedures for option pricing. This paper will simply introduce three numerical procedures that include Binomial trees methods, Monte Carlo simulation and Finite difference methods, meanwhile, it also makes a comparison among theses three numerical procedures so as to know their advantages and disadvantages, to see their relation and difference.