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基于半差分格式的欧式看涨期权定价模型数值解法

发表时间:2011-01-15  浏览量:1903  下载量:776
全部作者: 牛成虎
作者单位: 中国矿业大学理学院
摘 要: 主要研究欧式看涨期权定价模型的一种数值解法,利用半差分技术对已构造的偏微分方程做离散处理,并引入四阶Lagrange插值多项式对边界进行拓展,使得所有网格点均在离散域中,数值实例验证了数值解与解析解的一致性。该算法能够用较少的计算量得到精确的结果。
关 键 词: 金融数学;期权定价;半差分;欧式期权;数值解;Black-Scholes模型
Title: Numerical solution of European call option pricing model with semidiscretization technique
Author: NIU Chenghu
Organization: College of Sciences, China University of Mining and Technology
Abstract: For the complicated formula is hard to be operated, a numerical method of European call option pricing model is provided in this paper. Partial differential equation, which adopts fourth-order Lagrange interpolating polynomial to expand boundary values making all the neighbors mesh internal nodes in domain, is discretized by the semidiscretization technique. The examples show that numerical results coincide with the theoretical results, and the algorithm can provide accurate results with little calculating works.
Key words: financial mathematics; option pricing; semidiscretization technique; European call option; numerical solution; Black-Scholes model
发表期数: 2011年1月第1期
引用格式: 牛成虎. 基于半差分格式的欧式看涨期权定价模型数值解法[J]. 中国科技论文在线精品论文,2011,4(1):72-76.
 
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