| 隐式双离散方法定价Merton跳扩散期权模型 |
| |
| 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. |
| |
| 作者姓名： | 豆铨煜 殷俊锋 甘小艇 |
| |
| 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 |
| |
| 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 |
| |
| 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.
|
| 关 键 词： | 隐式双离散 Merton跳扩散期权模型 稳定性 |
| 收稿时间： | 2016/4/19 0:00:00 |
| 修稿时间： | 2016/11/18 0:00:00 |
An implicit double discretization method for pricing options under Merton's jump-diffusion model |
| |
| 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. |
| |
| Authors: | DOU Quanyu YIN Junfeng and GAN Xiaoting |
| |
| Institution: | 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 |
| |
| 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. |
| |
| Keywords: | implicit double discretization Merton''s jump-diffusion options model stability |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《同济大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《同济大学学报(自然科学版)》下载免费的PDF全文 |
|
