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
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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
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.
关键词:  有限体积法  跳扩散期权模型  全离散格式
DOI:10.13718/j.cnki.xsxb.2018.11.001
分类号:O241.82
基金项目:云南省教育厅基金项目(2015Y443);楚雄师范学院学术骨干资助项目(XJGG1601).
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
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.
Key words:  finite volume method  jump-diffusion option model  full discrete scheme
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