| SWR算法在期权定价中的应用 |
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| 引用本文： | 何光,龙宪军.SWR算法在期权定价中的应用[J].四川大学学报(自然科学版),2019,56(1):25-28. |
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| 作者姓名： | 何光 龙宪军 |
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| 作者单位： | 重庆工商大学数学与统计学院;重庆工商大学长江上游经济研究中心 |
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| 基金项目： | 国家自然科学基金（11471059）；重庆市科委项目（cstc2016jcyjA0564）；重庆市教委项目（KJ1500631）；重庆工商大学博士科研启动项目（2015-56-08）；重庆工商大学青年项目（1552004）；重庆工商大学科研项目（17540003） |
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| 摘 要： | 本文首先借鉴Schwarz波形松弛算法求解热传导方程的思路分析了SWR算法在欧式期权定价问题中的可行性,然后将欧式看涨期权定价问题转换为一类热传导方程的初-边值问题,通过Schwarz迭代方法获得了相应的误差方程,进而给出了算法误差的收敛性结果及算法的流程.数值实验表明,与经典的欧式期权定价公式相比,本算法具有更好的估计效果.
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| 关 键 词： | Schwarz波形松弛算法 热传导方程 期权定价 |
| 收稿时间： | 2017/10/20 0:00:00 |
| 修稿时间： | 2017/12/12 0:00:00 |
Application of SWR algorithm in option pricing |
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| HE Guang and LONG Xian-Jun.Application of SWR algorithm in option pricing[J].Journal of Sichuan University (Natural Science Edition),2019,56(1):25-28. |
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| Authors: | HE Guang and LONG Xian-Jun |
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| Institution: | College of Mathematics and Statistics, Chongqing Technology and Business University, Chongqing 400067, China,Research Center for Economy of Upper Reaches of the Yangtze River, Chongqing Technology and Business University, Chongqing 400067, China |
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| Abstract: | In this paper, inspired by the idea of solving heat conduction equation by means of Schwarz waveform relaxation algorithm, we analyze the feasibility of applying SWR algorithm in European option pricing. After transforming European call option pricing into a class of initial boundary value problems for heat conduction equation, error functions are obtained with Schwarz iterative method. Then the convergence result of algorithm error and the flow diagrams of algorithm are given. It is showed by a numerical experiment that this algorithm has better estimation effect compared with classical European option pricing formula. |
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