美式期权自由边界的计算方法  

Computing Method for the Free Boundary of the American Options

作　　者：林鸿熙[1] 宋丽平[2] 江良[2] 

机构地区：[1]莆田学院商学院,福建莆田351100 [2]莆田学院数学系,福建莆田351100

出　　处：《数学的实践与认识》2014年第24期141-145,共5页Mathematics in Practice and Theory

基　　金：福建省社会科学规划项目(2012B023);福建省教育厅科技项目(JK2012045);福建省高等学校新世纪优秀人才支持计划项目

摘　　要：美式期权的自由边界问题在金融工程文献中已经引起了广泛的关注,然而,它的数值计算方法一直是一个难点.基于差分技巧,给出了满足具有有限到期日的美式期权自由边界的两种计算方法,即,根据股票期权价格和相应的偏导数来确定自由边界条件.数值结果表明了上述两种方法下自由边界是一致性的.此外研究结果对自由边界的计算提供很好的科学依据.The free boundary problem of the American options has attracted a log of public attention in the financial hterature.However,it is greatly difficult to carry out the numerical method for the free boundary problem.This paper will develop the numerical method for the American options with limited maturity by using finite difference technique,where the free boundary conditions could be determined by using the stock and the corresponding derivatives,respectively.The numerical results show that the two numerical methods above for the free boundary are consistent.Besides,as a result,the method provide a significantly reference as to how to compute the free boundary.

关 键 词：变分不等式 自由边界 有限差分法 

分 类 号：F224[经济管理—国民经济] F830.91