基于辛普森公式的美式期权定价最优实施边界新算法  

A new Algorithm of the optimal exercise boundary for pricing american options based on simpson formula

作　　者：郭尊光[1] 李灿[1] 仉志余[1] 

机构地区：[1]太原工业学院理学系,山西太原030008

出　　处：《南昌大学学报（理科版）》2015年第6期525-528,共4页Journal of Nanchang University(Natural Science)

基　　金：山西省自然科学基金资助项目(2011011002-3);山西省高等学校教学改革项目(J2015118)

摘　　要：美式期权定价问题归结为最优实施边界问题,最优实施边界适合非线性第二类Volterra积分方程。研究了积分方程的求解问题,提出了基于复合辛普森方法的不动点迭代格式,分析了格式的代数精度,并进行了最优实施边界的模拟,结果验证了方法的有效性,为实际应用提供了理论基础。The problem of pricing American option is to study the optimal exercise boundary, which is most suitable by using the nonlinear Volterra integral equation of the second kind. The integral equation was studied and the fixed point iteration scheme was presented as well based on the composite Simpson formu- la. It analysed the Algebraic precision scheme. The optimal exercise boundary was simulated. Our result verified the effectiveness of the method,which could provide a theoretical basis for practical applications.

关 键 词：辛普森方法 VOLTERRA积分方程 美式期权 最优实施边界 

分 类 号：O241.4[理学—计算数学]