经济数学2002，Vol.19Issue(1)：1-7,7.
随机波动率的美式期权定价
THE VALUATION OF AMERICAN PUT OPTIONS WITH STOCHASTIC VOLATILITY
摘要
Abstract
In this paper, by using finite difference method, set up the valuation of American put option model with stochastic volatility of finite Markov chains, obtained the values of American put option, that improved the results of constant volatility model and binomial probability tree model. The illustration shows that the value calculated by our model and algorithm approaches the real price closer more.关键词
Markov过程/美式期权/有限差分/随机波动率Key words
Markov process/American option/Finite difference/Risk neutral引用本文复制引用
梅正阳,李楚霖..随机波动率的美式期权定价[J].经济数学,2002,19(1):1-7,7.基金项目
Financial support from the National Natural Science Foundation of China(grant 70071012) （grant 70071012）
