随机利率下的期权定价  

Option Pricing under Stochastic Interest Rate

作　　者：韩笑[1] 张敏行 HAN Xiao;ZHANG Minxing(College of Mathematics,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学数学学院,长春130012

出　　处：《吉林大学学报（理学版）》2021年第6期1405-1410,共6页Journal of Jilin University:Science Edition

基　　金：吉林省自然科学基金(批准号:20210101142JC);吉林大学研究生教育教学改革项目(批准号:2021JGY14).

摘　　要：基于Black-Scholes-Merton期权定价模型,采用计价单位转化方法,先给出Vasicek模型下欧式期权定价方程的简化算法;然后基于简化后的方程,使用显式差分法与Crank-Nicolson差分法给出欧式期权价格数值解的迭代格式,并验证迭代格式的稳定性.Based on the Black-Scholes-Merton option pricing model,we first gave a simplified algorithm of European option pricing equation under Vasicek model by using the method of conversion of valuation units,and then based on the simplified equation,we gave the iterative scheme for the numerical solution of the European option price by using the explicit difference method and the Crank-Nicolson difference method,and verified the stability of the iterative scheme.

关 键 词：期权定价 VASICEK模型 显式差分法 Crank-Nicolson差分法 

分 类 号：O211[理学—概率论与数理统计]