| 求解Black-Scholes模型下美式回望看跌期权的有限差分法 |
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| 引用本文： | 李庚,朱本喜,张琪,宋海明.求解Black-Scholes模型下美式回望看跌期权的有限差分法[J].吉林大学学报(理学版),2014,52(4):698-702. |
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| 作者姓名： | 李庚 朱本喜 张琪 宋海明 |
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| 作者单位： | 吉林大学 数学学院, 长春 130012 |
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| 基金项目： | 国家自然科学基金(批准号:11271157;11371171) |
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| 摘 要： | 考虑Black-Scholes模型下美式回望看跌期权的定价问题.先采用有限差分法对BlackScholes方程离散,求解期权价格,再通过Newton法求解最佳实施边界.用两种方法交替求解,得到了期权价格和最佳实施边界的数值逼近结果.数值实验验证了算法的有效性.
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| 关 键 词： | Black-Scholes模型 美式回望看跌期权 最佳实施边界 |
| 收稿时间： | 2013-11-15 |
Finite Difference Method for Solving American LookbackPut Option under the Black Scholes Model |
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| LI Geng,ZHU Benxi,ZHANG Qi,SONG Haiming.Finite Difference Method for Solving American LookbackPut Option under the Black Scholes Model[J].Journal of Jilin University: Sci Ed,2014,52(4):698-702. |
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| Authors: | LI Geng ZHU Benxi ZHANG Qi SONG Haiming |
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| Affiliation: | College of Mathematics, Jilin University, Changchun 130012, China |
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| Abstract: | The authors mainly studied the numerical method for valuing American lookback put options under the Black Scholes model. Applying the finite difference method, we obtained the discretization form of the Black Scholes equation, which was used to solve the option value, and we got the optimal exercise boundary by Newton’s method. Solving this problem by the two method in turn, we can get the option price and the optimal exercise boundary simultaneously. Numerical experiments verify the efficiency of the method. |
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| Keywords: | Black Scholes model American lookback put option optimal exercise boundary |
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