摘要
假设标的股价服从不变方差弹性(CEV)模型下,推导出美式看跌期权所遵循的变分不等方程.利用显式有限差分格式,给出具体的数值算法,并对格式的适定性进行分析,最后将其应用于实例,验证了算法的有效性.
Suppose that the price of underlying asset follows Constant Elasticity of Variance model （CEV）. We derive the variational inequality equations with which American put option schemes complied. We propose an algorithm based on explicit finite difference method, and then analyze its well-posed problems. Numerical example shows efficiency and convergence of the algorithm.
出处
《大学数学》
北大核心
2008年第4期91-96,共6页
College Mathematics
基金
安徽省高校青年教师人文社科项目科研资助(2006jqw077)
