有限体积法定价欧式跳扩散期权模型

甘小艇

doi:10.13718/j.cnki.xsxb.2018.11.001

西南师范大学学报(自然科学版)

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有限体积法定价欧式跳扩散期权模型

甘小艇. 有限体积法定价欧式跳扩散期权模型[J]. 西南师范大学学报(自然科学版), 2018, 43(11): 1-7. doi: 10.13718/j.cnki.xsxb.2018.11.001

引用本文:

甘小艇. 有限体积法定价欧式跳扩散期权模型[J]. 西南师范大学学报(自然科学版), 2018, 43(11): 1-7. doi: 10.13718/j.cnki.xsxb.2018.11.001

GAN Xiao-ting. Finite Volume Method for Pricing European Options under Jump-Diffusion Model[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(11): 1-7. doi: 10.13718/j.cnki.xsxb.2018.11.001

Citation:

GAN Xiao-ting. Finite Volume Method for Pricing European Options under Jump-Diffusion Model[J]. Journal of Southwest China Normal University(Natural Science Edition), 2018, 43(11): 1-7. doi: 10.13718/j.cnki.xsxb.2018.11.001

有限体积法定价欧式跳扩散期权模型

甘小艇

楚雄师范学院数学与统计学院, 云南楚雄 675000

Finite Volume Method for Pricing European Options under Jump-Diffusion Model

GAN Xiao-ting

School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong Yunnan 675000, China

摘要: 考虑有限体积法求解Kou跳扩散期权定价模型.基于线性有限元空间，构造了向后Euler和Crank-Nicolson两种全离散有限体积格式，并结合简单高效的递推公式逼近方程中的积分项.理论分析表明所得的离散矩阵为M-矩阵.数值实验验证了方法的有效性.
- 有限体积法 /
- 跳扩散期权模型 /
- 全离散格式
Abstract: Finite volume method has been developed for pricing Kou jump-diffusion option model. Based on a linear finite element space, both backward Euler and Crank-Nicolson full discrete finite volume schemes are constructed. For the approximation of the integral term, an easy-to-implement recursion formula has been employed. Theoretical analysis shows that the discretized system is an M-matrix. Numerical experiments confirm the efficient of the proposed methods.
- finite volume method /
- jump-diffusion option model /
- full discrete scheme .

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