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.
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.
出处
《系统工程学报》
CSCD
北大核心
2012年第1期19-25,共7页
Journal of Systems Engineering
基金
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)
关键词
期权定价
CEV过程
半离散化
稳定性
收敛性
option pricing
CEV process
semidiscretization
stability
convergence
