摘要
研究了基于Stulz两标资产的PDF数值方法——有限差分法.基于梅立泉等人对三元期权的有限差分公式,讨论了两资产的美式期权定价问题,并通过追赶法解三对角块矩阵使问题得到解决.
This paper studies the numerical methods for valuation of options on the two risky assets based on Stulz＇s PDE with the finite difference method and discusses the Tri - option pricing with the finite difference method mainly following Mei Liquan et al＇s formula. Here, the author discusses the American option of two risky assets. The problem is solved by working out the block - tridiagonal matrices with the pursuit method. The computational results reflect our method is right and reasonable.
出处
《湖州师范学院学报》
2007年第1期33-35,共3页
Journal of Huzhou University
关键词
隐式差分
期权定价
三对角块矩阵
implicit finite difference
option pricing
the block- tridiagonal matrices
