运筹与管理Issue(3)：226-233,8.
基于近似对冲跳跃风险的美式看跌期权定价及数值解法研究
The Prcing of American Put Options and Numerical Solution Based on Approximating Hedge Jump Risk
摘要
Abstract
In this paper , the pricing for American put option is considered based on approximating hedge jump risk.Firstly, the options pricing model and the partial differential equation of the options pricing model are derived in the jump-diffusion process , by applying the generalized Itôformula and no-arbitrage principle , based on approximating hedge jump risk .The approximate implicit difference scheme of American put option pricing model is developed , and consistency , well-posedness , stability and convergence of the difference scheme are also proved in this paper .Lastly, the numerical experiments show that this method is an effective and feasible way for pricing American options in jump-diffusion model .关键词
期权定价/美式期权/数值方法/稳定性分析/收敛性分析Key words
option pricing/american options/numerical method/stability analysis/convergence analysis分类
管理科学引用本文复制引用
袁国军,肖庆宪..基于近似对冲跳跃风险的美式看跌期权定价及数值解法研究[J].运筹与管理,2014,(3):226-233,8.基金项目
国家自然科学基金资助项目（11171221）；上海市一流学科（系统科学）资助项目 （）
