| 一类带交易费用含红利的B-S PDE差分方法 |
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| 引用本文： | 黑志华,白一青.一类带交易费用含红利的B-S PDE差分方法[J].曲靖师专学报,2013(6):9-10,35. |
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| 作者姓名： | 黑志华 白一青 |
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| 作者单位： | 曲靖师范学院数学与信息科学学院,云南曲靖655011 |
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| 摘 要： | 对于一类特殊的带交易费用并含红利的B-S偏微分方程,假设标的股票有交易费用以及红利支付,用有限差分及模拟技术求解了期权定价的近似解,并给出了具体实例验证了方法的有效性.
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| 关 键 词： | B-S PDE 红利 股票收益波动率 有限差分法 |
Finite Difference Method for B-S Partial Differential Equation with Transaction Costs and Dividend-paying |
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| Authors: | Hei Zhihua Bai Yiqing |
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| Institution: | ( Department of Mathematics and Information Science, Qujing Normal University, Qujing Yunnan 655011, P. R. China) |
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| Abstract: | Assume the underlying stock has transaction costs and dividend -paying, option pricing approximation solutions are obtained by finite difference modeling technology for the B -S partial differential equation with transaction costs and dividend - paying. An example is used to explain the effective of the method. |
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| Keywords: | B - S partial differential equation dividend volatility of stock finite difference method |
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