美式看跌期权定价的隐式差分格式  

Implicit Difference Scheme of American Put Option Pricing

作　　者：郭尊光[1] 李灿[1] 

机构地区：[1]太原工业学院理学系,山西太原030008

出　　处：《太原师范学院学报（自然科学版）》2015年第4期1-3,共3页Journal of Taiyuan Normal University:Natural Science Edition

摘　　要：文章研究美式看跌期权的定价问题.通过对美式看跌期权定价满足的变分不等式离散化,设定边界条件,建立隐式差分格式并将其转化为矩阵方程,通过MATLAB编程求解矩阵方程,给出数值算例,验证了算法的有效性.The American put options pricing problem will be studied. By discretizing the Variational inequality derived of American put options pricing, we set the boundary condition and established the implicit difference scheme which is transformed to the Matrix equation. Matrix e- quation is solved by MATI.AB program, calculation samples is presented, and the validity of the algorithm is verified.

关 键 词：美式看跌期权 隐式差分格式 数值实验 

分 类 号：O241.82[理学—计算数学]