| 有限差分方法在股票期权定价中的应用 |
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| 引用本文： | 邢丽. 有限差分方法在股票期权定价中的应用[J]. 科学技术与工程, 2007, 7(21): 5736-5739 |
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| 作者姓名： | 邢丽 |
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| 作者单位： | 上海第二工业大学数学系,上海,201209 |
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| 基金项目： | 上海高校选拔培养优秀青年教师科研专项基金（LX306003）资助 |
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| 摘 要： | 针对不付红利的美式看跌期权,利用有限差分法对股票期权价格所满足的Black-Scholes微分方程进行了数值模拟。通过数值例子对隐式差分格式和显式差分格式的所有缺点加以比较,并通过细网格的剖分得到更精确的解,取得一些实际期权交易中有用的结果。
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| 关 键 词： | 期权定价 美式看跌期权 有限差分 Black-Scholes微分方程 |
| 文章编号： | 1671-1819（2007）21-5736-04 |
| 修稿时间： | 2007-06-15 |
Application of Finite Difference Methods in the Stock Option Pricing |
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| XING Li. Application of Finite Difference Methods in the Stock Option Pricing[J]. Science Technology and Engineering, 2007, 7(21): 5736-5739 |
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| Authors: | XING Li |
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| Affiliation: | Department of Applied Mathematics, Shanghai Second Polytechnic University, Shanghai 201209, P. R. China |
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| Abstract: | Using finite difference methods to simulate the Black-Scholes pricing model is based on non-dividend paying American put option,and get its numerical solution.Through numerical example,a comparison between implicit finite difference methods and explicit finite difference method is presented.By refinement grid the more exact solution is got,and given some useful conclusion in options trading. |
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| Keywords: | option pricing American put option finite different method Black-Scholes equation |
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