美式期权定价的有限差分跳点格式研究

Research on the Finite Difference Jump Point Scheme of American Option Pricing

本文用有限差分法对美式看跌期权定价.对美式看跌期权满足的偏微分方程,首先对变量进行替换,转化为常系数抛物型方程的初边值问题,然后采用有限差分跳点格式进行求解,并证明了跳点差分格式的相容性、收敛性和稳定性.数值实验表明其有效性.

This paper uses the finite difference method to price American put options. For the partial differential equation satisfied by American put option,firstly,the variables are replaced and transformed into the initial boundary value problem of parabolic equation with constant coefficients. Then,the finite difference jump point scheme is used to solve the problem,and the consistency,convergence and stability of the jump point difference scheme are proved. Numerical experiments show its effectiveness.