CEV模型下平方障碍期权定价的数值算法

Numberical Solution for Barrier Power Option Following Constant Elasticity of Variance Model

讨论一种变异期权-收益结构为平方的障碍期权,在股票价格服从不变方差弹性(CEV)模型下,采用Crank-Nicolson差分格式,给出具体的数值算例,并验证了算法的有效性,最后分析障碍对期权的影响.

The barrier option with payoffs as a kind of exotic option is discussed.Supposing the underlying asset fol-lows constant elasticity of variance model （CEV）, using C-N differential scheme, the partial differential equations, an algorithm and some numerical examples to verify the validity of the arithmetic were obtained, and the effects of barrier level on option price were discussed.