| 美式回望看涨期权的有限元方法 |
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| 引用本文： | 张琪,高景璐. 美式回望看涨期权的有限元方法[J]. 吉林大学学报(理学版), 2014, 52(6): 1167-1170 |
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| 作者姓名： | 张琪 高景璐 |
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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： | 考虑美式回望看涨期权的定价问题,先利用变网格有限元方法对Black-Scholes方程进行离散,求出期权值,再采用Newton迭代法给出最佳实施边界,两种方法交替使用,得到了相应的数值解.通过与二叉树方法进行比较表明,该数值方法有效.
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| 关 键 词： | 美式回望看涨期权 变网格有限元方法 最佳实施边界 |
| 收稿时间： | 2014-03-28 |
Finite Element Method for the Valuation of American Lookback Call Option |
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| ZHANG Qi,GAO Jinglu. Finite Element Method for the Valuation of American Lookback Call Option[J]. Journal of Jilin University: Sci Ed, 2014, 52(6): 1167-1170 |
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| Authors: | ZHANG Qi GAO Jinglu |
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| Affiliation: | College of Mathematics, Jilin University, Changchun 130012, China |
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| Abstract: | We analyzed American lookback call option valuation problem. Using the variable mesh finite element algorithm, we obtained the discreteform of the Black Scholes equation, which is used to determine the value of American lookback option. Furthermore, we got the optimal exercise boundary using the Newton iterative method. When the two methods were alternately used, we gavecorresponding numerical solutions. Finally, compared with the binomial method,
this method is efficient and the theoretical analysis. |
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| Keywords: | American lookback call option variable mesh finite element algorithm optimal exercise boundary |
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