求解CEV模型下美式看跌期权的有限差分法  

Finite Difference Method for Solving American Put Option under the CEV Model

作　　者：王智宇[1] 李景诗 朱本喜[1] 宋海明[1] 

机构地区：[1]吉林大学数学学院,长春130012

出　　处：《吉林大学学报（理学版）》2014年第3期489-493,共5页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:11271157)

摘　　要：采用有限差分法求解CEV模型下美式看跌期权的定价问题,得到了期权价格和最佳实施边界的数值逼近结果.数值实验结果表明,所给算法即快速又精确,为金融机构提供了一种快速定价金融产品的方法.We applied the finite difference method to solve American put option pricing problem under the CEV model,and got the numerical approximations of the option price and the optimal exercise boundary.The algorithm is fast and accurate,which can provide a method of pricing the financial products for financial institutions efficiently,and it has theoretical and practical values.Numerical experiments verify the efficiency of this method.

关 键 词：CEV模型 美式看跌期权 最佳实施边界 

分 类 号：O241.8[理学—计算数学]