摘要
金融衍生物就是一种风险管理的工具,而期权就是最重要的金融衍生工具之一,它在防范和规避风险以及投机中起着非常重要的作用。期权理论的核心就是期权定价问题。由于美式期权与欧式期权不同,它不可能得到解的显式表达式,所以研究它的数值解以及解本身的一些性质就显得尤为重要。而对美式看跌期权的Crank-Nicolson格式推导表明,用Crank-Nicolson格式可以得到有效的数值解。
Financial derivative is a risk management tool. Option is one of the most important derivatives. It is in prevent and avoid the risks and speculation plays a very important role. Option pricing is the core of the option theory. American option is different from European option. For American option , noanalytic formula and exact solution can be obtained. T hus,it＇svery important to discuss various numerical methods for American option. In this dissertation, Crank-Nicolson difference scheme for American option pricing is developed on the base of Black and Scholes equation. Numerical examples show the convergence and efficiency of our algorithm.
出处
《廊坊师范学院学报（自然科学版）》
2012年第6期11-12,14,共3页
Journal of Langfang Normal University(Natural Science Edition)
关键词
美式期权
看跌期权
C—N差分格式
american option
put option
Crank-Nicolson difference scheme
