美式看跌期权定价问题的隐-显和显-隐交替差分算法  

Implicit-Explicit and Explicit-Implicit Alternating Finite Difference Methods of Pricing for American Put Options

作　　者：闫俐[1] 崔明[1] 贾翔宇[1] 

机构地区：[1]中国人民大学信息学院,北京100872

出　　处：《科研信息化技术与应用》2014年第6期36-43,共8页E-science Technology & Application

基　　金：国家自然科学基金(11171349)

摘　　要：本文基于Black-Scholes模型,考虑将有限差分方法中显隐两种格式结合起来用来求解期权定价问题,我们采用交替显-隐格式和交替隐-显格式,对美式看跌期权进行了数值计算,该方法既可以有隐式格式的稳定性,又能简化计算量,并将此种方法与单纯使用显格式、隐格式所得的结果进行比较,同时给出了具体数值算例,数值结果表明了算法的有效性。In this paper,based on the Black-Scholes model,we consider the finite difference method combined with the explicit and implicit schemes which are used to solve the option pricing problem.The pricing for American put options are computed by using the implicit-explicit and explicit-implicit alternating finite difference method,which can be not only the stability of implicit scheme,but also to simplify the calculation.The speed and accuracy of the procedure for this method are compared against existing explicit scheme and implicit scheme with numerical examples,and the numerical results show that the algorithm is more effective.

关 键 词：美式看跌期权 隐-显格式 显-隐格式 BLACK-SCHOLES模型 有限差分法 

分 类 号：F830.91[经济管理—金融学]