有限体积法定价欧式跳扩散期权模型  

Finite Volume Method for Pricing European Options under Jump-Diffusion Model

作　　者：甘小艇 GAN Xiao-ting(School of Mathematics and Statistics,Chuxiong Normal University,Chuxiong Yunnan 675000,China)

机构地区：[1]楚雄师范学院数学与统计学院,云南楚雄675000

出　　处：《西南师范大学学报（自然科学版）》2018年第11期1-7,共7页Journal of Southwest China Normal University(Natural Science Edition)

基　　金：云南省教育厅基金项目(2015Y443);楚雄师范学院学术骨干资助项目(XJGG1601)

摘　　要：考虑有限体积法求解Kou跳扩散期权定价模型.基于线性有限元空间,构造了向后Euler和Crank-Nicolson两种全离散有限体积格式,并结合简单高效的递推公式逼近方程中的积分项.理论分析表明所得的离散矩阵为M-矩阵.数值实验验证了方法的有效性.Finite volume method has been developed for pricing Kou jump-diffusion option model.Based on a linear finite element space,both backward Euler and Crank-Nicolson full discrete finite volume schemes are constructed.For the approximation of the integral term,an easy-to-implement recursion formula has been employed.Theoretical analysis shows that the discretized system is an M-matrix.Numerical experiments confirm the efficient of the proposed methods.

关 键 词：有限体积法 跳扩散期权模型 全离散格式 

分 类 号：O241.82[理学—计算数学]