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基于辛普森公式的美式期权定价最优实施边界新算法 被引量：2

A new Algorithm of the optimal exercise boundary for pricing american options based on simpson formula
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摘要 美式期权定价问题归结为最优实施边界问题,最优实施边界适合非线性第二类Volterra积分方程。研究了积分方程的求解问题,提出了基于复合辛普森方法的不动点迭代格式,分析了格式的代数精度,并进行了最优实施边界的模拟,结果验证了方法的有效性,为实际应用提供了理论基础。 The problem of pricing American option is to study the optimal exercise boundary, which is most suitable by using the nonlinear Volterra integral equation of the second kind. The integral equation was studied and the fixed point iteration scheme was presented as well based on the composite Simpson formu- la. It analysed the Algebraic precision scheme. The optimal exercise boundary was simulated. Our result verified the effectiveness of the method,which could provide a theoretical basis for practical applications.
作者 郭尊光 李灿 仉志余
机构地区 太原工业学院理学系
出处 《南昌大学学报（理科版）》 CAS 北大核心 2015年第6期525-528,共4页 Journal of Nanchang University(Natural Science)
基金 山西省自然科学基金资助项目(2011011002-3) 山西省高等学校教学改革项目(J2015118)
关键词 辛普森方法 VOLTERRA积分方程 美式期权 最优实施边界 Simpson formula Volterra integral equation pricing American option ~ optimal exercise boundary
分类号 O241.4 [理学—计算数学]
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参考文献15

  • 1BLACK F, SCHOLES M. The Pricing of Options and Corporate Liabilities[J]. The Journal of Political Econ- omy, 1973 : 637-654.
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二级参考文献8

  • 1孙鹏,张蕾,赵卫东.美式期权定价问题的一类有限体积数值模拟方法[J].山东大学学报（理学版）,2007,42(6):1-6. 被引量：4
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南昌大学学报（理科版）
2015年 第6期

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