区域转换模型下的欧式股票期权定价

Pricing European Stock Options with a Regime Switching Model

运用有限差分方法研究了具有两状态区域转换的欧式股票期权定价问题。假定股票价格服从一个状态是几何布朗运动和一个状态是均值回复过程的区域转换模型,建立一个隐式差分格式离散对流项主导的偏微分方程组,通过分析得到了数值格式的稳定性,最后通过数值算例验证了理论结果。

A finite difference method is used to price European stock options with a two-state regime switching model,which consists of one Geometric Brownian Motion and one mean reverting process.Established an implicit difference scheme to discretize convection dominated terms of the partial difference equations.The stability of the numerical scheme is obtained by analysis.Theoretical results were validated by a numerical example at last.