| 隐式双离散方法定价Merton跳扩散期权模型 |
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| 引用本文： | 豆铨煜,殷俊锋,甘小艇. 隐式双离散方法定价Merton跳扩散期权模型[J]. 同济大学学报(自然科学版), 2017, 45(2): 0302 |
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| 作者姓名： | 豆铨煜 殷俊锋 甘小艇 |
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| 作者单位： | 同济大学数学系,同济大学数学系,同济大学数学系 |
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| 基金项目： | 国家自然科学基金(11271289),中央高校基本科研业务费专项资金 |
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| 摘 要： | 构造隐式双离散方法定价Merton跳扩散模型下的欧式和美式期权.给出了该离散方法的稳定性分析.数值实验表明,所构造的方法是有效稳健的,比显式格式具有明显的优势.
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| 关 键 词： | 隐式双离散 Merton跳扩散期权模型 稳定性 |
| 收稿时间： | 2016-04-19 |
| 修稿时间： | 2016-11-18 |
An implicit double discretization method for pricing options under Merton's jump-diffusion model |
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| DOU Quanyu,YIN Junfeng and GAN Xiaoting. An implicit double discretization method for pricing options under Merton's jump-diffusion model[J]. Journal of Tongji University(Natural Science), 2017, 45(2): 0302 |
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| Authors: | DOU Quanyu YIN Junfeng GAN Xiaoting |
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| Affiliation: | School of Mathematical Sciences, Tongji University, Shanghai 200092, China,School of Mathematical Sciences, Tongji University, Shanghai 200092, China and School of Mathematical Sciences, Tongji University, Shanghai 200092, China; School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong 675000, China |
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| Abstract: | An implicit double discretization method is developed for pricing European and American options under Merton''s jump-diffusion model. Stability of the method is discussed. Numerical experiments show that the proposed method is efficient and robust, and has advantages over the explicit scheme. |
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| Keywords: | implicit double discretization Merton''s jump-diffusion options model stability |
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