广东石油化工学院学报2011，Vol.21Issue(4)：59-62,4.
半差分格式在支付交易费用的欧式看涨期权定价模型中的应用
Numerical Solution to European Call Option Pricing Model Transaction Costs by Semidiscretization Technique
段国东 1蒋建 1牛成虎1
作者信息
- 1. 中国矿业大学理学院,江苏徐州221008
- 折叠
摘要
Abstract
Numerical method of European call option pricing model with Transaction Costs was provided in this paper. Partial differential equation, which adopted fourth- order Lagrange interpolating polynomial to expand boundary values making all the neighbors mesh 关键词
期权定价模型/半差分/数值解/欧式看涨期权Key words
option price model/semidiscretization technique/numerical solution/European call option分类
数理科学引用本文复制引用
段国东,蒋建,牛成虎..半差分格式在支付交易费用的欧式看涨期权定价模型中的应用[J].广东石油化工学院学报,2011,21(4):59-62,4.
