摘要
主要研究了美式看跌期权定价模型的一种数值解法,利用半差分技术对已构造的偏微分方程做离散处理,并引入四阶Lagrange插值多项式对边界进行拓展,使得所有网格点均在离散域中,数值实例验证了方法的有效性。
Numerical method of American output option pricing model is provided.Partial differential equation which adopted fourth-order Lagrange interpolating polynomial to expand boundary values in order to making all the neighbors mesh internal nodes in domain was discredited by the semi-discretization technique.Numerical results coincide with the theoretical results.
出处
《四川理工学院学报（自然科学版）》
CAS
2011年第4期380-382,共3页
Journal of Sichuan University of Science & Engineering(Natural Science Edition)
基金
中央高校基本科研业务费专项资金(2010LKSX03)
关键词
期权定价
半差分
美式看跌期权
数值解
option price
semi-discretization technique
American put option
numerical solution
