西北师范大学学报（自然科学版）2017，Vol.53Issue(3)：8-12,33,6.DOI:10.16783/j.cnki.nwnuz.2017.03.002
基于有限元离散的模方法定价美式期权
Modulus methods for pricing American option basedon finite element discretization
摘要
Abstract
In this paper,a modulus method based on finite element discretization is introduced to price American option.Based on a linear finite element space,backward Euler and Crank-Nicolson finite element schemes of the Black-Scholes equation are constructed.The modulus-based successive overrelaxation(MSOR) method are applied to solve the resulted linear complementarity problems(LCPs).Further, the H+-matrix property of the discretization matrix which guarantees the convergence of the MSOR method is also analyzed.Numerical experiments show the efficient of the proposed method,and illustrate that the MSOR method outperforms the projected successive overrelaxation method(PSOR).关键词
有限元方法/美式期权/线性互补问题/模超松弛迭代/投影超松弛迭代Key words
finite element method/American option/linear complementarity problems/modulus-based successive overrelaxation/projected successive overrelaxation分类
数理科学引用本文复制引用
甘小艇,阳莺,刘胜..基于有限元离散的模方法定价美式期权[J].西北师范大学学报（自然科学版）,2017,53(3):8-12,33,6.基金项目
广西壮族自治区自然科学基金资助项目(2014GXNSFAA118004) （2014GXNSFAA118004）
云南省教育厅科学研究基金项目(2015Y443) （2015Y443）
楚雄师范学院校级学术骨干培养资助项目(XJGG1601) （XJGG1601）
