基于偏微分方程算法的期权定价方法研究  

Research on Option Pricing Method Based on Partial Differential Equation Algorithm

作　　者：夏志婕 XIA Zhijie(School of International Business,Zhejiang Industry and Trade Vocational and Technical School,325003,Wenzhou,Zhejiang,china)

机构地区：[1]浙江工贸职业技术学院国际商贸学院,浙江温州325003

出　　处：《特区经济》2024年第8期110-113,共4页Special Zone Economy

基　　金：2023年度温州市科协服务科技创新项目“数字经济赋能温州特色农产品品牌建设路径研究”(jczc124);2021年浙江省教育厅课题“‘产教融’大数据应用平台探索--以浙江工贸电商专业为例(Y202147710)”;2018年国家高技能人才培训基地科研项目“大数据背景下温州农村电子商务产业集群发展研究”(GJKY201802)。

摘　　要：在现代金融理论研究领域,金融衍生产品定价问题的核心内容是期权定价问题。随着期权种类的增加和模型的扩展,研究期权定价方法尤为重要。对于不存在解析解的期权定价问题,采用偏微分模型方程的精准求解就成为解决该问题的关键一环。因此,本研究结合其他领域如流体力学中的数值求解方法,发展了一种基于间断有限元(DGM)的偏微分方程求解算法,并结合不同算例对算法进行了验证和分析,该算法的精准求解为期权的成功定价奠定了良好的基础。In the field of modern financial theory research,the core element of the financial derivative pricing problem is the option pricing problem.With the increase of option types and the extension of models,the study of option pricing methods is particularly important.For the option pricing problem that does not have an analytical solution,the accurate solution of the partial differential model equations becomes a key part of solving the problem.Therefore,this study develops a partial differential equation solving algo-rithm based on discontinuous finite element(DGM)by combining numerical solving methods in other fields such as fluid dynamics,and validates and analyses the algorithm by combining different examples,and the ac-curate solution of the algorithm lays a good foundation for the successful pricing of options.

关 键 词：金融 期权定价 偏微分求解 间断有限元方法 

分 类 号：F830.9[经济管理—金融学]