双资产欧式期权定价问题的特征有限元方法  

THE CHARACTERISTIC FINITE ELEMENT METHOD FOR THE PRICING PROBLEM OF TWO-ASSET EUROPEAN OPTIONS

作　　者：葛志昊 李婷婷 王慧芳 Ge Zhihao;Li Tingting;Wang Huifang(School of Mathematics and Statistics&Institute of Applied Mathematics,Henan University,Kaifeng 475004,China)

机构地区：[1]河南大学数学与统计学院&应用数学所,开封475004

出　　处：《数值计算与计算机应用》2020年第1期27-41,共15页Journal on Numerical Methods and Computer Applications

基　　金：国家自然科学基金(No:11971150,11801143),河南大学一流学科培育项目支持计划(No.2019YLZDJL08).

摘　　要：本文针对双资产欧式期权定价问题构造了特征有限元方法,给出了此方法的L2-模最优阶误差估计和H1-模最优阶误差估计.数值算例验证了该方法的收敛性与稳定性,同时表明该方法克服了数值震荡现象.In this paper,we propose a characteristic finite element method for two-asset European options pricing model,and the optimal order error estimates in L2-norm and H1-norm are given.The error analysis and numerical results show that our numerical method has good convergence and stability,and overcomes the numerical oscillation phenomenon at the same time.

关 键 词：BLACK-SCHOLES方程 特征有限元方法 误差估计 

分 类 号：F830.9[经济管理—金融学] O241.82[理学—计算数学]