吉林大学学报（理学版）Issue(5)：949-953,5.DOI:10.13413/j.cnki.jdxblxb.2014.05.16
求解Black-Scholes模型下美式看跌期权的有限差分法
Finite Difference Method for Solving American Put Option under the Black-Scholes Model
摘要
Abstract
This paper deals with the American put option pricing problem governed by the Black-Scholes equation.Applying finite difference method coupled with Newton’s method to solve the Black-Scholes equation,we can get the numerical approximations of the option price and the optimal exercise boundary simultaneously.Numerical experiments verify the efficiency of the method.关键词
Black-Scholes模型/美式看跌期权/最佳实施边界Key words
Black-Scholes model/American put option/optimal exercise boundary分类
数理科学引用本文复制引用
李景诗,王智宇,朱本喜,宋海明..求解Black-Scholes模型下美式看跌期权的有限差分法[J].吉林大学学报（理学版）,2014,(5):949-953,5.基金项目
国家自然科学基金(批准号:11271157) （批准号:11271157）
