| 跳-扩散下欧式看涨期权的径向基函数法 |
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| 作者单位： | ;1.河南科技大学数学与统计学院 |
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| 摘 要： | 利用径向基函数法研究了跳-扩散下欧式看涨期权定价问题.为了证实径向基函数法的有效性,分别给出了利用径向基函数法和四阶龙格-库塔法(RK4)及有限差分法和RK4求解跳-扩散下欧式看涨期权定价问题的数值计算格式.算例计算结果显示,若采用相同的数值积分法,基于径向基函数法和RK4的数值计算格式精度更高.
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| 关 键 词： | 跳-扩散过程 欧式看涨期权 径向基函数法 有限差分法 RK4 |
Radial Basis Function Method for the European Call Pricing Option under Jump-Diffusion |
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| Institution: | ,School of Mathematics and Statistics,Henan University of Science and Technology |
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| Abstract: | In this paper,the european call option pricing under jump-diffusion is studied with the aids of the radial basis function method.In order to confirm the effectiveness of the radial basis function method,two numerical schemes of the radial basis function method,the fourth-order Runge-Kutta method(RK4) and the finite difference method,RK4 are presented,respectively.The numerical results show that the accuracy of the radial basis function method is more higher than the finite difference method if we use the same numerical integral method to approximate integral item. |
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| Keywords: | jump-diffusions European call option radial basis function method finite difference method RK4 |
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