| 有限差分方法在期权定价中的应用 |
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| 引用本文： | 李晓昭,廖作鸿.有限差分方法在期权定价中的应用[J].科技情报开发与经济,2004,14(4):83-84,132. |
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| 作者姓名： | 李晓昭 廖作鸿 |
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| 作者单位： | 南方冶金学院应用科学学院,江西,赣州,341000 |
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| 摘 要： | 偏微分方程的有限差分解法是通过将偏微分方程离散化为差分方程，求得微分方程的近似解。通过研究在期权定价中，价格是随机的期权定价方程的有限差分解法，并与二叉树图法、标准的Black-Scholes定价模型求得的解相比较，得出3种方法的解具有相似性的结论。
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| 关 键 词： | 有限差分法 期权定价 股票期权 定价模型 |
| 文章编号： | 1005-6033(2004)04-0083-02 |
Application of Finite Difference Methods in the Pricing of Option |
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| LI Xiao zhao,LIAO Zuo hong.Application of Finite Difference Methods in the Pricing of Option[J].Sci-Tech Information Development & Economy,2004,14(4):83-84,132. |
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| Authors: | LI Xiao zhao LIAO Zuo hong |
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| Abstract: | Using the finite difference methods of partial differential equation can get approximate solution through discretizing the partial differential equation into the difference equation. In the pricing of option, the price is the finite difference solution of the random option pricing equation, and through the comparison with the solutions of the binary tree chart and Black-Scholes pricing model, getting the conclusion that the solutions of the three methods possess the similarity. |
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| Keywords: | finite difference method option pricing share option pricing model |
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