一类加速的模系对称超松弛迭代方法定价双资产美式期权  

Accelerated modulus-based symmetric successive overrelaxation iteration method for pricing two-asset American option

作　　者：王宁[1] 殷俊锋[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《应用数学与计算数学学报》2016年第3期317-331,共15页Communication on Applied Mathematics and Computation

基　　金：国家自然科学基金资助项目(11271289);中央高校基本科研业务费专项资金资助项目

摘　　要：构造和研究了一类加速的模系对称超松弛迭代方法,用来求解由双资产美式期权定价模型离散出来的线性互补问题.理论分析给出该算法的收敛性条件.数值实验表明,该方法对于求解双资产美式期权定价模型是有效的,并且优于经典的模系超松弛迭代方法和模系对称超松弛迭代方法.An accelerated modulus-based symmetric successive overrelaxation it- eration method is proposed for the linear complementarity problems discreted from the two-asset American option pricing model. Theoretical analysis gives the con- ditions for the convergence of the proposed iteration method. Numerical exper- iments verify that the numerical method is efficient and superior to the classical modulus-based successive overrelaxation iteration method and the symmetric suc- cessive overrelaxation iteration method.

关 键 词：有限差分法 双资产美式期权 线性互补问题 对称超松弛模迭代方法 

分 类 号：O241.82[理学—计算数学]