摘要
首先采用前修复法把带自由边界的美式看涨期权模型转化为带固定边界的美式看涨期权模型;然后利用显式、隐式等有限差分格式对其离散,得到相应的线性与非线性方程组,通过牛顿迭代法等方法求得相应的线性与非线性方程组的解,从而求得原问题的期权价格;最后给出数值算例,通过对此算例做的一系列数值试验,验证了算法的有效性,并得到了一些在期权交易的实际操作中有用的结果.
An American call option pricing model with free boundary transform into an American call option pricing with fixed boundary by using front-fixing methods. We discretize it using the explicit and im- plicit difference scheme,and obtain the corresponding linear and nonlinear equations. We solve these equa- tions with the Newton iterative method to obtain option prices. Finally a numerical example is used as an il- lustration and these two approaches are validated with a series of experiments. And some useful results are obtained for its application in the option market.
出处
《河北师范大学学报（自然科学版）》
CAS
北大核心
2013年第3期239-244,共6页
Journal of Hebei Normal University：Natural Science
基金
国家自然科学基金(10971224
11171349)
河北省青年基金(A2010000346)
关键词
带自由边界的美式看涨期权
前修复法
有限差分法
American call option pricing models with free and moving boundary value
front-fixingmethods
finite difference scheme
