| 有限体积法定价欧式跳扩散期权模型 |
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| 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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| 作者姓名： | 甘小艇 |
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| 作者单位： | 楚雄师范学院 数学与统计学院, 云南 楚雄 675000 |
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| 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）. |
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| 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.
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| 关 键 词： | 有限体积法 跳扩散期权模型 全离散格式 |
| 收稿时间： | 2016/10/19 0:00:00 |
Finite Volume Method for Pricing European Options under Jump-Diffusion Model |
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| GAN Xiao-ting.Finite Volume Method for Pricing European Options under Jump-Diffusion Model[J].Journal of Southwest China Normal University(Natural Science),2018,43(11):1-7. |
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| Authors: | GAN Xiao-ting |
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| Affiliation: | School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong Yunnan 675000, China |
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| 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. |
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| Keywords: | finite volume method jump-diffusion option model full discrete scheme |
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