吉林大学学报（理学版）Issue(4)：698-702,5.DOI:10.13413/j.cnki.jdxblxb.2014.04.11
求解 Black-Scholes 模型下美式回望看跌期权的有限差分法
Finite Difference Method for Solving American Lookback Put Option under the Black-Scholes Model
摘要
Abstract
The authors mainly studied the numerical method for valuing American lookback put options under the Black-Scholes model.Applying the finite difference method,we obtained the discretization form of the Black-Scholes equation,which was used to solve the option value,and we got the optimal exercise boundary by Newton’s method.Solving this problem by the two method in turn,we can get the option price and the optimal exercise boundary simultaneously.Numerical experiments verify the efficiency of the method.关键词
Black-Scholes 模型/美式回望看跌期权/最佳实施边界Key words
Black-Scholes model/American lookback put option/optimal exercise boundary分类
数理科学引用本文复制引用
李庚,朱本喜,张琪,宋海明..求解 Black-Scholes 模型下美式回望看跌期权的有限差分法[J].吉林大学学报（理学版）,2014,(4):698-702,5.基金项目
国家自然科学基金(批准号:11271157 （）
11371171) （）
