摘要
研究美式零息票债券期权定价问题的差分方法。对美式债券期权所遵循的变分不等方程建立隐式差分逼近,利用能量方法分析差分解的稳定性和收敛性,并给出误差估计。理论证明此方法是有效的。
Finite-difference method for pricing American bond option was investigated. A back Euler fully discretized approximation scheme was established for the variational inequations derived from the option pricing problems. It was proved that difference solution was stable and convergent.
出处
《太原理工大学学报》
CAS
北大核心
2008年第6期633-635,共3页
Journal of Taiyuan University of Technology
关键词
期权定价
差分格式
能量方法
option pricing
difference method
energy method
