隐式双离散方法定价Merton跳扩散期权模型  

An Implicit Double Discretization Method for Pricing Options under Metron's Jump-diffusion Model

作　　者：豆铨煜[1] 殷俊锋[1] 甘小艇[1,2] DOU Quanyu YIN Junfeng GAN Xiaoting(School of Mathematical Sciences, Tongji University, Shanghai 200092, China School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong 675000, China)

机构地区：[1]同济大学数学科学学院,上海200092 [2]楚雄师范学院数学与统计学院,云南楚雄675000

出　　处：《同济大学学报（自然科学版）》2017年第2期302-308,共7页Journal of Tongji University:Natural Science

基　　金：国家自然科学基金(No:11271289);中央高校基本科研业务费专项资金

摘　　要：构造隐式双离散方法定价Merton跳扩散模型下的欧式和美式期权.给出了该离散方法的稳定性分析.数值实验表明,所构造的方法是有效稳健的,比显式格式具有明显的优势.An implicit double discretization method is developed for pricing European and American options under Merton＇s jump-diffusion model. Stability of the method is discussed. Numerical experiments show that the proposed method is effective and robust, and has advantages over the explicit scheme.

关 键 词：隐式双离散 Merton跳扩散期权模型 稳定性 

分 类 号：O241.8[理学—计算数学]