摘要
构造隐式双离散方法定价Merton跳扩散模型下的欧式和美式期权.给出了该离散方法的稳定性分析.数值实验表明,所构造的方法是有效稳健的,比显式格式具有明显的优势.
An implicit double discretization method is developed for pricing European and American options under Merton＇s jump-diffusion model. Stability of the method is discussed. Numerical experiments show that the proposed method is effective and robust, and has advantages over the explicit scheme.
作者
豆铨煜
殷俊锋
甘小艇
DOU Quanyu YIN Junfeng GAN Xiaoting(School of Mathematical Sciences, Tongji University, Shanghai 200092, China School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong 675000, China)
出处
《同济大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2017年第2期302-308,共7页
Journal of Tongji University:Natural Science
基金
国家自然科学基金(No:11271289)
中央高校基本科研业务费专项资金
关键词
隐式双离散
Merton跳扩散期权模型
稳定性
implicit double discretization
Merton＇s jumpdiffusion options model
stability
