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支付红利下Black-Scholes方程的显隐和隐显差分格式解法

发表时间:2011-07-15  浏览量:1340  下载量:572
全部作者: 吴立飞,杨晓忠
作者单位: 华北电力大学数理学院信息与计算研究所
摘 要: 对支付红利下的Black-Scholes方程构造了显隐和隐显差分格式解法,给出格式的收敛性、稳定性和误差估计,分析表明:显隐格式和隐显格式均为二阶格式,两格式具有相同的计算量,分别约为Crank-Nicolson格式计算量的一半;数值试验证实支付红利下Black-Scholes方程的显隐和隐显格式方法是有效的。
关 键 词: 金融数学;期权定价;显隐格式;隐显格式;稳定性;支付红利的Black-Scholes方程
Title: Explicit-implicit and implicit-explicit algorithm for solving the payment of dividend Black-Scholes equation
Author: WU Lifei, YANG Xiaozhong
Organization: Institute of Information and Computation, Mathematics and Physics Department, North China Electric Power University
Abstract: This paper constructs the explicit-implicit and implicit-explicit schemes for solving the payment of dividend Black-Scholes equation. It gives the convergence, stability and error estimates of schemes. The analysis demonstrates that the schemes are second order and have the same amount of calculation, which is less than the Crank-Nicolson scheme’s. Finally, the numerical examples show the feasibility and effectiveness of the schemes.
Key words: financial mathematics; option pricing; explicit-implicit scheme; implicit-explicit scheme; stability; the payment of dividend Black-Scholes equation
发表期数: 2011年7月第13期
引用格式: 吴立飞,杨晓忠. 支付红利下Black-Scholes方程的显隐和隐显差分格式解法[J]. 中国科技论文在线精品论文,2011,4(13):1207-1212.
 
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