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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:2016-04-19
修稿时间:2016-11-18

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  GAN Xiaoting
Affiliation: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
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