摘要
The numerical method of pricing up-and-out call Parision Option based on the Black-Scholes model is focused in this article. The two-point compact scheme with second-order accuracy is used. A technique to remove the singularity of the pay-offf unction is used to make the result more accurate,more effective and more stable.The influence of the delaying time and the barrier on the option price is discussed.
The numerical method of pricing up-and-out call Parision Option based on the
Black-Scholes model is focused in this article. The two-point compact scheme with
second-order accuracy is used. A technique to remove the singularity of the pay-off
function is used to make the result more accurate,more effective and more stable.
The influence of the delaying time and the barrier on the option price is discussed.
出处
《数值计算与计算机应用》
CSCD
北大核心
2004年第2期81-89,共9页
Journal on Numerical Methods and Computer Applications
