求解Black-Scholes模型下美式回望看跌期权的有限差分法

Finite Difference Method for Solving American Lookback Put Option under the Black-Scholes Model

考虑Black-Scholes模型下美式回望看跌期权的定价问题.先采用有限差分法对BlackScholes方程离散,求解期权价格,再通过Newton法求解最佳实施边界.用两种方法交替求解,得到了期权价格和最佳实施边界的数值逼近结果.数值实验验证了算法的有效性.

The authors mainly studied the numerical method for valuing American lookback put options under the Black-Scholes model.Applying the finite difference method,we obtained the discretization form of the Black-Scholes equation,which was used to solve the option value,and we got the optimal exercise boundary by Newton＇s method.Solving this problem by the two method in turn,we can get the option price and the optimal exercise boundary simultaneously.Numerical experiments verify the efficiency of the method.