| 非确定波动率下期权定价模型的有限体积法 |
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| 引用本文： | 甘小艇,徐登国,赵仁庆.非确定波动率下期权定价模型的有限体积法[J].吉林大学学报(理学版),2002,57(5):1095-1103. |
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| 作者姓名： | 甘小艇 徐登国 赵仁庆 |
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| 作者单位： | 1. 楚雄师范学院 数学与统计学院, 云南 楚雄 675000; 2. 电子科技大学 数学科学学院, 成都 611731;
3. 北京理工大学 自动化学院, 北京 100081
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| 摘 要： | 针对非确定波动率下期权定价模型的数值解法, 构造非线性HJB(Hamilton Jacobi Bellman)方程全隐式的有限体积格式, 并给出格式的稳定性、 解的存在和唯一性证明. 数值实验验证了该方法的稳健性和有效性.
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| 关 键 词： | 非确定波动率期权模型 有限体积法 HJB方程 数值实验 |
| 收稿时间： | 2019-01-07 |
Finite Volume Method of Option Pricing Modelunder Uncertain Volatility |
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| GAN Xiaoting,XU Dengguo,ZHAO Renqing.Finite Volume Method of Option Pricing Modelunder Uncertain Volatility[J].Journal of Jilin University: Sci Ed,2002,57(5):1095-1103. |
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| Authors: | GAN Xiaoting XU Dengguo ZHAO Renqing |
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| Institution: | 1. School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong 675000, Yunnan Province, China;2. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731, China;3. School of Automation, Beijing Institute of Technology, Beijing 100081, China
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| Abstract: | In view of the numerical solution of option pricing model under uncertain volatility,we constructed a fully implicit finite volume scheme of the nonlinear HJB (Hamilton Jacobi Bellman) equation， and provedthe stability, existence and uniqueness of the scheme. The robustness and effectiveness of the proposed method were verified by numerical experiments. |
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| Keywords: | uncertain volatility option model finite volume method HJB equation numerical experiment |
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