一类非线性的金融模型及其EM数值解  

A Nonlinear Finance Model and Its Euler-Maruyama Numerical Solution

作　　者：戴璐[1] 汪胜桥[2] 

机构地区：[1]武汉理工大学理学院,湖北武汉430070 [2]华中科技大学数学与统计学院,湖北武汉430074

出　　处：《武汉理工大学学报（信息与管理工程版）》2013年第2期262-264,共3页Journal of Wuhan University of Technology：Information & Management Engineering

摘　　要：证明了一类高度非线性的随机微分方程形式的金融模型的解析性质,包括非负全局解的存在唯一性、EM解的收敛性。另外,还说明了基于EM算法的蒙特卡洛模拟可计算各类金融产品的预期收益率。The analytical properties about a highly nonlinear stochastic differential equation model in finance were dis- cussed,which mainly included the unique global positive solution and the convergence of Euler - Maruyama approximate solutions. Moreover, the convergence result justified clearly that the Monte Carlo simulations based on the EM method could be used to calculate the expected payoff of financial products.

关 键 词：随机微分方程 即期利率 依概率收敛 EM方法 蒙特卡洛模拟 

分 类 号：F830.9[经济管理—金融学]