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论文摘要

CEV模型下支付红利的美式看跌期权的差分法

Differential algorithms for American put-options of CEV on dividend-paying stock

作者:郭宗怀(四川大学数学学院);胡兵(四川大学数学学院);徐友才(四川大学数学学院)

Author:GUO Zong-Huai(School of Mathematics, Sichuan University);HU Bing(School of Mathematics, Sichuan University);XU You-Cai(School of Mathematics, Sichuan University)

收稿日期:2018-03-07          年卷(期)页码:2018,55(6):1162-1166

期刊名称:四川大学学报: 自然科学版

Journal Name:Journal of Sichuan University (Natural Science Edition)

关键字:CEV模型;美式看跌期权;显式差分格式;稳定性 ;收敛性

Key words:CEV; American put-options;Explicit difference schemes;Stability;Convergence

基金项目:国家自然科学基金(11771312)

中文摘要

作为 B-S 模型的一般化,CEV 模型在实际操作中更有可行性.本文针对CEV模型下支付红利的美式看跌期权的定价问题,推导了模型遵循的变分方程,提出了相应的显式差分格式,然后讨论了格式的稳定性和收敛性并给出了相对应的稳定条件.数值实验验证了算法的有效性.

英文摘要

As a generalization of B-S model, CEV model is more feasible in practical operation. This paper aims at pricing problem for American put-options of CEV on dividend-paying stock.The variation equation for the model is derived. An explicit difference scheme for the approximate solution is presented Then stability and convergence of the scheme are analyzed,the corresponding stability conditions are given. Numerical experiment shows that this scheme is efficient.

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