期权定价方程的紧致差分算法

Compact Difference Algorithm for the Option Pricing Equation

利用紧致有限差分方法进行空间离散,修正龙格库塔方法进行时间离散,建立一种求解期权定价方程的数值格式,较好地解决了对空间与时间混合导数项的离散问题,并在空间和时间上都保持了较高阶精度.所得数值结果证实了该数值格式具有较高的精度.

Acompact difference scheme is established for solving the option pricing equation by using the the compact nmtedifference method in space discretization and the modified Runge - Kutta method in time discretization. The mixed derivative isskillfully treated and the high order accuracy is maintained both in space and time. It is confirmed that the numerical schemesobtained from the scheme have high accuracy