区域转换模型下的欧式股票期权定价  

Pricing European Stock Options with a Regime Switching Model

作　　者：王福宁 李鹏 WANG Funing;LI Peng(School of Mathematics and Statistics,North China University of Water Resources and Electric Power,Zhengzhou 450046,China)

机构地区：[1]华北水利水电大学数学与统计学院,河南郑州450046

出　　处：《河南教育学院学报（自然科学版）》2022年第3期21-24,88,共5页Journal of Henan Institute of Education(Natural Science Edition)

摘　　要：运用有限差分方法研究了具有两状态区域转换的欧式股票期权定价问题。假定股票价格服从一个状态是几何布朗运动和一个状态是均值回复过程的区域转换模型,建立一个隐式差分格式离散对流项主导的偏微分方程组,通过分析得到了数值格式的稳定性,最后通过数值算例验证了理论结果。A finite difference method is used to price European stock options with a two-state regime switching model,which consists of one Geometric Brownian Motion and one mean reverting process.Established an implicit difference scheme to discretize convection dominated terms of the partial difference equations.The stability of the numerical scheme is obtained by analysis.Theoretical results were validated by a numerical example at last.

关 键 词：区域转换 几何布朗运动 均值回复 股票期权 有限差分法 

分 类 号：O29[理学—应用数学] F224.9[理学—数学]