文献类型：期刊文献

中文题名：美式看跌期权定价的两种有限差分格式

英文题名：Two Kinds of Finite Difference Scheme of Pricing for American Put Options

作者：王丽萍[1,2];许作良[2];马青华[3];乔海英[4]

第一作者：王丽萍

机构：[1]中国人民大学信息学院;[2]河北师范大学数学与信息科学学院;[3]北京联合大学应用文理学院计算科学系;[4]河北广播电视大学理工部

第一机构：中国人民大学信息学院,北京100872

年份：2012

卷号：42

期号：24

起止页码：33-38

中文期刊名：数学的实践与认识

外文期刊名：Mathematics in Practice and Theory

收录：CSTPCD;;北大核心:【北大核心2011】；CSCD:【CSCD_E2011_2012】；

基金：国家自然科学基金(10971224;11171349);河北省青年基金(A2010000346)

语种：中文

中文关键词：美式看跌期权;指数拟合有限差分法;外推的指数拟合有限差分法

外文关键词：American put options; exponential fitted finite difference scheme; extrapolatedexponential fitted finite difference scheme

摘要：基于Black-Scholes模型,采用指数拟合有限差分法与外推的指数拟合有限差分法对美式看跌期权价值进行了数值计算,对这两种数值方法及其与已往的显式、隐式、C-N等有限差分的优缺点进行了比较,并给出数值算例,通过对此算例做的一系列数值试验,验证了算法的有效性,并得到了一些在期权交易的实际操作中有用的结果.
Based on Black-Scholes model, firstly, presents two kinds of finite difference scheme of pricing for American put options. The finite difference includes exponential fitted finite difference scheme and extrapolated exponential fitted finite difference scheme. Secondly, a numerical example is given and the validity of the two kinds of algorithm is checked by a series of experiments. Finally, The advantages and disadvantages of the two kinds of numerical method are discussed. In addition, The speed and accuracy of the procedure are compared against existing methods as well. And some useful results are obtained for its application in the option markets.