摘要
在假设标的资产价格服从几何布朗运动的基础上,指出了已有文献中关于巴黎期权的偏微分方程(PDE)定价方法存在的问题,给出了正确的边界条件和终值条件,利用方向导数将该三维PDE降为二维PDE.进而运用隐性差分方法为巴黎期权定价.并将其与显性差分方法比较,数值结果表明,隐性差分方法绝对稳定,收敛速度快且计算成本较低.
Based on the assumptions that the underlying asset price of option follows the Geometric Brownian Motion, this paper corrects the problems existing in Parisian options＇ PDE pricing in Haber＇s paper, explores the right boundary and terminal conditions and employs the directional derivatives to transform three dimensional PDE to two dimensional PDE. This paper used the ing. Comparing the numerical results with explicit stable, fast convergence and low computation cost. implicit finite difference method for Parisian option pric- finite difference method, the proposed method is absolute
出处
《系统工程学报》
CSCD
北大核心
2013年第6期764-774,共11页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(71203247
70971145)
教育部重点科研基金资助项目(11yjc790015)
关键词
巴黎期权
偏微分方程
方向导数
隐性差分
绝对稳定性
Parisian option
partial differential equations
directional derivatives
implicit finite difference
absolute stability
