一种基于并行计算的美式期权定价方法

An American Option Pricing Method Based on Parallel Computing

美式期权的定价问题是当今金融学的重要研究课题之一。由于美式期权可以提前执行,故其定价要比欧式期权定价困难得多。利用有限差分法,通过对Saul'ev格式进行转换,将半隐式格式转换为易于并行计算的显式格式,最终构造出一种计算方便的美式期权定价差分方法,并验证了此差分格式的收敛性与无条件稳定性。

American option pricing is one of the important research topics in today＇s finance. Because American option can be performed early, its pricing is much more difficult than European option pricing. The semi-implicit scheme was converted to explicit scheme of easy parallel computing by using the finite difference method and converting to Saul＇ev format. Finally, an American option pricing method was constructed with convenient calculation, and the convergence and unconditional stability of this difference scheme was verified.