| 基于半离散化的CEV过程下两值期权定价研究 |
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| 引用本文： | 袁国军. 基于半离散化的CEV过程下两值期权定价研究[J]. 系统工程学报, 2012, 27(1): 19-25 |
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| 作者姓名： | 袁国军 |
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| 作者单位： | 皖西学院经济与管理学院,安徽六安,237012 |
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| 基金项目： | 安徽高等学校省级自然科学研究资助项目(KJ20118210);六安市定向委托皖西学院资助项目(2009LW020) |
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| 摘 要： | 研究了常弹性波动率(CEV)过程下一类两值期权定价的数值解法问题.首先根据无套利原理和Ito公式,建立了期权定价模型,得到了在该模型下期权价格所满足的偏微分方程.然后对其中的空间变量进行离散化,得到具体的半离散化差分格式,证明了该差分格式的稳定性和收敛性.最后数值实验表明该算法是一个稳定收敛的算法.
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| 关 键 词： | 期权定价 CEV过程 半离散化 稳定性 收敛性 |
Study on the pricing of binary options in the CEV process based on semidiscretization |
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| YUAN Guo-jun. Study on the pricing of binary options in the CEV process based on semidiscretization[J]. Journal of Systems Engineering, 2012, 27(1): 19-25 |
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| Authors: | YUAN Guo-jun |
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| Affiliation: | YUAN Guo-jun (School of Economics and Management,West Anhui University,Lu’an 237012,China) |
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| Abstract: | This paper studies a numerical solution method for a class of binary options in the constant elasticity of variance(CEV) process.Firstly,the option pricing model is established,and the partial differential equation satisfied by the option price under the model is derived based on the Ito formula and the no-arbitrage principle. Secondly,the concrete semidiscretization difference scheme of the differential equation is obtained by making use of discretization to the spatial variable of the equation,stability and convergence of the difference scheme are proved.Lastly,a numerical experiment shows that the algorithm is stable and convergent. |
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| Keywords: | option pricing CEV process semidiscretization stability convergence |
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