Merton跳扩散期权模型的数值方法  

Numerical Method for Merton Jump⁃Diffusion Option Model

作　　者：张艳萍 ZHANG Yanping(Shanxi Engineering Vocational College,Taiyuan 030009,Shanxi,China)

机构地区：[1]山西工程职业学院公共教学部,山西太原030009

出　　处：《山西师范大学学报（自然科学版）》2022年第1期19-24,共6页Journal of Shanxi Normal University(Natural Science Edition)

摘　　要：研究Merton跳扩散过程下欧式看涨期权定价的数值计算方法.对欧式看涨期权满足的偏微分积分方程定解问题,首先进行变量替换,转化为常系数的初边值问题,然后通过分别对空间项、时间项离散,建立有限差分C⁃N格式进行求解,并证明了所建立差分格式的稳定性.数值实验表明方法的有效性.In this paper,we study the numerical calculation method for European call option pricing under Merton jump diffusion process.In order to solve the partial differential equation for European call option,firstly,by variable substitutions,it is transformed into an initial boundary value problem with constant coefficient.Then,we discrete the spacial derivative and time derivative,and finite difference C⁃N scheme is constructed.Further⁃more,the stability of the scheme is proved.Numerical experiments show the effectiveness of the proposed method.

关 键 词：期权定价 跳扩散模型 偏微分积分方程 C⁃N格式 

分 类 号：O24[理学—计算数学]