美式障碍期权定价的数值方法

Numerical Method for Pricing American Barrier Option

给出了基于B_S方程的向下触销型美式看涨期权的具体数值算法 .算法采用两点中心隐式差分格式 ,由于问题的初值条件含强间断或弱间断 ,故采用了相应的奇性消除技术 ,利用较少的网点就取得了较准确的结果 .

In this article,we study the numerical pricing method of American barrier option based on the Black-Scholes equation.The two-point compact scheme with two-order accuracy is given.A singularity-removing technique has been used for treating the singularity of the pay-off function.We find it has good convergence and superior stability properties.We also discuss the effects of barrier level on option price and early exercise policies.