期权定价问题的数值方法

NUMERICAL METHODS FOR OPTION PRICING PROBLEMS

本文研究以股票为标的资产的美式看跌期权定价问题的数值方法,即有限元方法。通过将所考虑的问题转化为等价的变分不等式,并利用积分恒等式与超逼近分析技术,得到了半离散有限元方法的最优L^2-模与L~∞-模的误差估计。

In this paper we are concerned with numerical approximations, finite element methods, to the valuation of American put options on stocks. By reformulating the problem in question into a variational inequality and using integral identities as well as super-close analysis technique, we obtain the optimal L2-norm and L∞-norm estimates for the semi-discrete finite element scheme.