跳扩散过程下期权定价的数值方法  

Numerical method for option pricing under jump-diffusion process

作　　者：黎伟[1] 周圣武[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116

出　　处：《华东师范大学学报（自然科学版）》2012年第4期27-35,共9页Journal of East China Normal University(Natural Science)

基　　金：国家自然科学基金(61005089);中央高校基本科研业务费专项基金(JGK101677)

摘　　要：研究了跳扩散过程下期权价值所满足PIDE方程的数值计算方法.利用四阶差分格式对空间离散,引入四阶Lagrange插值多项式对边界进行延拓,得到一个非齐次线性系统.基于矩阵指数的Padd逼近方法及其分数表示形式,构建了一种高阶光滑Crank-Nicolson差分格式.数值计算验证了该种方法的有效性,讨论了跳跃强度对标准期权和障碍期权的影响.与传统的Crank-Nicolson格式相比,该格式很好地处理了在执行价格和障碍点附近数值震荡的问题.该种方法亦可应用于一般具有非光滑边界的线性系统问题.Numerical method for partial integro-differential equation （PIDE） resulting from option value under jump-diffusion process was studied. A non-homogeneous linear system, was obtained by discretizing the spatial derivatives utilizing the fourth-order difference and extending boundary using fourth-order Lagrange interpolating polynomial. Based on Pad5 approximations and partial fraction version of the matrix exponential, a high-order smoothing Crank-Nicolson scheme was constructed. Numerical calculation discussed the influence of jump intensity on vanilla option value and barrier option value, showed that the algorithm was efficient. Compared with classic Crank-Nicolson scheme, the numerical scheme avoided the spurious oscillation near the strike price and barrier value. The algorithm also can be used in the general linear boundary value problem which has non-smooth boundary.

关 键 词：期权 跳扩散过程 数值方法 Pad逼近 光滑Crank-Nicolson格式 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]