摘要
基于有限差分法、径向基函数法和四级四阶龙格-库塔法(RK4),给出了两种求解欧式看跌期权定价问题的数值计算格式.算例计算结果显示,基于径向基函数法、四级四阶龙格-库塔法的数值计算格式精度更高.
In this paper, based on the finite difference method, radial basis function method and RK4, two nu- merical methods for European put option pricing are presented. The results of the example show that the accuracy of the radial basis function method is more higher.
作者
温梦珠
张金良
WEN Meng-zhu ZHANG Jin-liang(School of Mathematics and Statistics, Henan University of Science and Technology, Luoyang 471023, China)
出处
《南阳师范学院学报》
CAS
2016年第12期22-25,共4页
Journal of Nanyang Normal University
基金
河南省基础与前沿技术研究基金(092300410179)
河南科技大学科研创新能力培育基金(2011CX011)
关键词
欧式看跌期权
径向基函数法
有限差分法
RK4
European put option
the radial basis function method
finite difference method
RK4
