有限差分方法在期权定价中的应用

Application of Finite Difference Methods in the Pricing of Option

偏微分方程的有限差分解法是通过将偏微分方程离散化为差分方程,求得微分方程的近似解。通过研究在期权定价中,价格是随机的期权定价方程的有限差分解法,并与二叉树图法、标准的Black-Scholes定价模型求得的解相比较,得出3种方法的解具有相似性的结论。

Using the finite difference methods of partial differential equation can get approximate solution through discretizing the partial differential equation into the difference equation. In the pricing of option, the price is the finite difference solution of the random option pricing equation, and through the comparison with the solutions of the binary tree chart and Black-Scholes pricing model, getting the conclusion that the solutions of the three methods possess the similarity.