有限差分法在复合期权定价中的应用

Application of the finite difference algorithm to pricing of compound options

提供一种基于有限差分格式的数值方法为复合期权定价。首先对原生看跌期权的价格所满足的偏微分方程离散化为差分方程,求得原生期权价格的近似值;然后转化到新的区域建立复合期权所适合的数值解问题;最后给出数据模拟,进行一系列数值实验,验证其有效性和收敛性;表明该算法可用于期权交易的实际操作。

Based on the differential scheme, a numerical method of pricing compound options is presented. Firstly, the partial differential equation satisfied by underlying put options is transformed into a series of differential equations,obtaining approximation solutions. Then a new region is built so as to obtain the numerical equations. At last, numerical examples are provided to verify the feasibility of this algorithm. The results show that the algorithm can be applied in the option market.