| 求解Black-Scholes模型下美式看跌期权的有限差分法 |
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| 引用本文： | 李景诗,王智宇,朱本喜,宋海明.求解Black-Scholes模型下美式看跌期权的有限差分法[J].吉林大学学报(理学版),2014,52(5):949-953. |
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| 作者姓名： | 李景诗 王智宇 朱本喜 宋海明 |
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| 作者单位： | 吉林大学 数学学院, 长春 130012 |
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| 摘 要： | 考虑Black-Scholes模型下美式看跌期权的定价问题.采用有限差分法和Newton法耦合求解Black-Scholes方程,得到了期权价格和最佳实施边界的数值逼近结果.数值实验验证了算法的有效性.
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| 关 键 词： | Black-Scholes模型 美式看跌期权 最佳实施边界 |
| 收稿时间： | 2013-09-26 |
Finite Difference Method for Solving American Put Option under the Black-Scholes Model |
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| LI Jingshi,WANG Zhiyu,ZHU Benxi,SONG Haiming.Finite Difference Method for Solving American Put Option under the Black-Scholes Model[J].Journal of Jilin University: Sci Ed,2014,52(5):949-953. |
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| Authors: | LI Jingshi WANG Zhiyu ZHU Benxi SONG Haiming |
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| Institution: | College of Mathematics, Jilin University, Changchun 130012, China |
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| Abstract: | This paper deals with the American put option pricing problem governed by the Black Scholes equation. Applying finite difference method coupled with Newton’s method to solve the Black Scholes equation, we can getthe numerical approximations of the option price and the optimal exercise boundary simultaneously. Numerical experiments verify the efficiency of the method. |
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| Keywords: | Black-Scholes model American put option optimal exercise boundary |
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