摘要
研究了半直线上修正的Jacobi有理函数正交系,建立了在金融数学中经常应用的Black-Scholes模型的有理谱格式.数值结果说明了这种方法的有效性.
We introduce a modified orthogonal system of Jacobi rational functions on the half line. The rational spectral scheme is proposed for Black-Scholes model appearing frequently in financial mathematics. Numerical results demonstrate the efficiency of this new approach.
出处
《上海师范大学学报（自然科学版）》
2009年第4期342-346,共5页
Journal of Shanghai Normal University(Natural Sciences)
基金
Supported by the NSF of China(10871131).
关键词
Jacobi有理谱方法
半直线
新正交系
应用
Jacobi rational spectral method
on the half line
new orthogonal system
application
