CEV模型下支付红利的美式看跌期权的差分法  

Differential algorithms for American put-options of CEV on dividend-paying stock

作　　者：郭宗怀 胡兵[1] 徐友才[1] GUO Zong-Huai;HU Bing;XU You-Cai(School of Mathematics,Sichuan University,Chengdu 610064,China)

机构地区：[1]四川大学数学学院,成都610064

出　　处：《四川大学学报（自然科学版）》2018年第6期1162-1166,共5页Journal of Sichuan University(Natural Science Edition)

基　　金：国家自然科学基金(11771312)

摘　　要：作为B-S模型的一般化,CEV模型在实际操作中更有可行性.本文针对该模型下支付红利的美式看跌期权的定价问题.推导了模型遵循的变分方程,提出了相应的显示差分格式,然后讨论了格式的稳定性和收敛性并给出了相应的稳定条件.数值实验验证了算法的有效性.As a generalization of B S model, CEV model is more feasible in practical operation. This paper aims at pricing problem for American put options of CEV on dividend-paying stock. The variation equation for the model is derived. An explicit difference scheme for the approximate solution of the equation is presented. Then stability and convergence of the scheme are analyzed, the corresponding stability conditions are given. Numerical experiment shows that this scheme is efficient.

关 键 词：CEV模型 美式看跌期权 显式差分格式 稳定性 收敛性 

分 类 号：O241.82[理学—计算数学]