华东师范大学学报（自然科学版）Issue(1)：121-129,137,10.DOI:10.3969/j.issn.1000-5641.2012.01.016
基于不确定波动率的非套利流动模型数值解法
Numerical solution of a non-arbitrage liquidity model based on uncertain volatility
摘要
Abstract
The option pricing model in illiquidity markets was expanded to general situations by introducing two kinds of uncertain volatility models. As it is difficulty to get analytical solutions for the model in complicated cases, a numerical solution was discussed by establishing corresponding differential equations; and the stability and consistency of the sdution were proved. Finally, the influence of some parameters to the solution was provided in numerical examples. The results show that the algorithm reduced the restriction on step-length requirements, and satisfactory approximation can be found with less computation.关键词
非流动市场/ 不确定波动率/数值解/期权/ 差分格式Key words
illiquid markets/uncertain volatility/numerical solution/option/difference scheme分类
数理科学引用本文复制引用
牛成虎,周圣武..基于不确定波动率的非套利流动模型数值解法[J].华东师范大学学报（自然科学版）,2012,(1):121-129,137,10.基金项目
中央高校基本科研业务费专项资金(2010LKSX03) （2010LKSX03）
