CEV和B&P作用下美式期权数值定价

The Differential Algorithm for American Put Option Pricing under the Action of CEV and B&P Process

研究不变方差弹性(CEV)模型下,股票价格在布朗过程和泊松过程(B&P)共同作用下的美式看跌期权定价问题,得到对应的变分不等方程。利用隐式有限差分格式进行数值分析,并将其应用于实例,验证了算法的有效性。

Suppose that the price of underlying asset follows Constant Elasticity of Variance model （CEV）, we derive the variation inequality equations with which American put option schemes complied by the combination of Brownian motion and Poisson process （B＆ P process）. We propose an algorithm based on implicit finite difference method. Numerical example shows efficiency and convergence of the algorithm.