摘要
本文提出一种求解美式期权定价自由边值问题的变网格差分方法.通过建立一个自由边界所满足的方程,利用变网格技术可同时求出期权的差分解和最佳执行边界.本文分别讨论了显式和隐式变网格差分格式,并给出了差分解的收敛性和稳定性分析.数值实验表明本文算法是一个非常有效的期权定价算法.
In this paper, the difference methods with variable meshes are proposed for the Amer- ican option pricing problems in the free boundary value form. By means of an equation derived for the free boundary, the option values and the optimal exercise boundary can be computed simultaneously by using the variable mesh technique. Both explicit and implicit difference schemes are discussed, and the stability and convergence are analyzed. Numerical experiments show that the new algorithm is very efficient for option pricing problems.
出处
《计算数学》
CSCD
北大核心
2008年第4期379-387,共9页
Mathematica Numerica Sinica
基金
国家自然科学基金资助项目(No．10771031)
关键词
美式期权定价
自由边值问题
变网格差分算法
稳定和收敛性
数值计算
American option pricing, free boundary problem, variable meshes difference scheme, stability and convergence, numerical computation
