求解亚式期权定价问题的迎风差分方法

Upwind Difference Method for Solving the Pricing Problem of Asian Option

期权理论的核心是期权定价问题.研究连续取样的算术平均亚式期权定价问题的差分方法,根据问题所满足的偏微分方程终边值问题,构造出一种隐式的迎风差分格式,论证了差分解的惟一存在性和绝对稳定性,并给出差分解在离散L2范数下的误差估计.数值计算表明本文数值方法是一种高效和收敛的近似方法.

The kernel of option theory is the option pricing problem. To price the continuously sampled arithmetic average Asian option, an implicit upwind difference scheme is constructed based on the final boundary value problem of partial differential equation, which is satifiable to the option pricing problem. Then the unique existence and unconditional stability of the difference solution are demonstrated and the error estimate is given under the discrete L2 norm. Some numerical examples are given to show that the numerical method presented is an approximation method with high efficiency and convergence.