引用本文:甘小艇, 徐登国.Merton跳扩散期权模型的有限体积格式[J].西南大学学报(自然科学版),2019,41(11):47~53
【打印本页】   【HTML】   【下载PDF全文】   查看/发表评论  【EndNote】   【RefMan】   【BibTex】
←前一篇|后一篇→ 过刊浏览    高级检索
本文已被:浏览 37次   下载 37 本文二维码信息
码上扫一扫!
分享到: 微信 更多
Merton跳扩散期权模型的有限体积格式
甘小艇, 徐登国
楚雄师范学院 数学与统计学院, 云南 楚雄 675000
摘要:
考虑有限体积法定价欧式的Merton型跳扩散期权模型.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,且离散矩阵均为M-矩阵.针对方程中的积分项,采用一类高效的线性插值技术进行逼近.数值实验验证了本文方法的有效性和稳健性.
关键词:  Merton跳扩散期权  有限体积法  全离散格式  数值实验
DOI:10.13718/j.cnki.xdzk.2019.11.007
分类号:O241.82
基金项目:国家自然科学基金项目(61463002);楚雄师范学院校级学术骨干资助项目(XJGG1601).
Finite Volume Schemes for Pricing Merton Jump-Diffusion Option Model
GAN Xiao-ting, XU Deng-guo
School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong Yunnan 675000, China
Abstract:
A finite volume method has been developed for European option pricing under the Merton jump-diffusion model. Based on a linear finite element space, both backward Euler and Crank-Nicolson full discrete finite volume schemes are constructed, and the discretizarion matrices are M-matrices. For the approximation of the integral term, an efficient linear interpolation technique has been employed. Numerical experiments demonstrate that the methods proposed in this paper are effective and robust.
Key words:  Merton jump-diffusion option  finite volume method  full discrete scheme  numerical experiment
手机扫一扫看