区域转换CEV模型下的欧式期权定价

European Option Pricing with Regime-Switching CEV Models

文章采用隐式差分法研究了区域转换下的欧式股票期权定价问题.假设两个状态分别服从常弹性方差模型,运用隐式差分法解出偏微分方程的数值解,理论证明了数值格式的稳定性,数值结果证明了该方法的有效性和收敛性.

In this paper,an implicit difference scheme is developed to price European stock options with Constant Elasticity of Variance(CEV)models under regime-switching settings.Assuming that stock price follows the CEV model with two states,the implicit finite difference method is utilized to solve the corresponding partial differential equations.The stability of the numerical scheme is proved theoretically,and the effectiveness and convergence of the method are verified by numerical results.