| 确定美式Spread期权自由边界的一种算法 |
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| 引用本文： | 吴雄华,余屹.确定美式Spread期权自由边界的一种算法[J].同济大学学报(自然科学版),2002,30(6):749-754. |
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| 作者姓名： | 吴雄华 余屹 |
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| 作者单位： | 同济大学应用数学系,上海,200092 |
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| 基金项目： | 国家自然科学基金资助项目 (198710 62 ) |
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| 摘 要： | Spread期权是一种新型两维美式差价期权，即客户有权以价格E，一份标的资产s2交换一份标的资产s1。这种期权涉及到两标的资产且可提前 执行，其数学模型是抛物型方程的自由边界问题，确定期权价格的关键在于自由边界位置的确定。通过坐标变换、高精度分裂算法及奇性消除方法等手段，计算出可靠的数值结果。
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| 关 键 词： | 美式Spread期权 最优执行价格 自由边界 消除奇性 |
| 文章编号： | 0253-374(2002)06-0749-06 |
| 修稿时间： | 2001年5月25日 |
Numerical Method for Free Boundary Problem of American Spread Option |
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| WTBXWU Xiong-hua,YU YiHJmm HJWT.BZ.Numerical Method for Free Boundary Problem of American Spread Option[J].Journal of Tongji University(Natural Science),2002,30(6):749-754. |
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| Authors: | WTBXWU Xiong-hua YU YiHJmm HJWTBZ |
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| Institution: | WT5BXWU Xiong-hua,YU YiHJ4mm HJWT8.BZ |
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| Abstract: | The Spread option is an exotic American exchange call option of two assets.This means investors have right to exchange an underlying asset with price s 2,for another underlying asset with price s 1.The strike price is E .Since the option could be implemented before the expiration date.Its mathematic model based on Black-Scholes model is a parabolic partial differential equation with free boundary condition.The key problem for pricing the option is to find the position of the free boundary.The coordinate transformation,local one dimension method and singularity-removing method have been used.The numerical results are convincing. |
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| Keywords: | ZK(American spread option optimal exercise price free boundary singularity-removing |
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