美式债券期权定价问题的有限元方法  

A FINITE ELEMENT METHOD FOR PRICING AMERICAN OPTION ON BONDS

作　　者：张铁[1] 

机构地区：[1]东北大学数学系,沈阳110004

出　　处：《计算数学》2004年第3期277-284,共8页Mathematica Numerica Sinica

摘　　要：The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H^1 norms.The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H1 norms.

关 键 词：有限元逼近 美式期权定价问题 变分不等式 有限元 变量代换 

分 类 号：F224[经济管理—国民经济]