摘要
Black-Scholes方程作为描述期权定价最有效的方程之一,其求解问题一直是人们关注的焦点。自20世纪70年代以来,涌现出了大量求解这一偏微分方程的方法。Abraham J.Arenas等人就利用非标准的有限差分格式求解出了广义Black-Scholes方程,在此基础上,利用精确的线性差分格式和空间导数的近似,得到了广义Black-Scholes方程的近似解。同时,又将该方法推广到了求解非齐次的Black-Scholes方程的数值解问题,并得到与广义Black-Scholes方程类似的近似解。
Black- Scholes equation is one of the most effective equation describing option pricing, and the solving problem is always the focus of people＇s attention.Since the 1970 s, emerged a large number of methods for solving the differential equation of flops. Abraham J.Arenas and others have used nonstandard finite difference scheme to solve the generalized Black- Scholes equation. On this basis, we use the precision linear difference format and spatial derivative approximation to get the approximate solution of the generalized Black- Scholes equation. At the same time, this method has been generalized to find the numerical solution of the nonhomogeneous Black- Scholes equation, and we get the approximate solution which is similar to that of the generalized Black- Scholes equation.
出处
《六盘水师范学院学报》
2016年第1期10-13,共4页
Journal of Liupanshui Normal University
基金
贵州省科学技术基金项目(黔科合LH字[2014]7467号)
