辽宁工程技术大学学报（自然科学版）2017，Vol.36Issue(10)：1111-1115,5.DOI:10.11956/j.issn.1008-0562.2017.10.019
随机波动下障碍期权定价的有限差分方法
Finite difference method for barrier option pricing under stochastic volatility
摘要
Abstract
In order to effectively solve the initial-boundary value problem of a two-dimensional convection-diffusion equation for barrier option pricing with stochastic volatility,this paper uses a non-uniform finite difference approximate method,and constructs the non-uniform space grids.Taylor series expansion is used to obtain differenee approximation of the first derivative,second derivative and mixed derivative on the non-uniform space grids.This paper solves the obtained ordinary differential equations using Craig-Sneyd iterative scheme,and compares the outputs with Monte Carlo method by some numerical experiments.Numerical results show that the non-uniform finite difference is a robust and effective numerical method for barrier options pricing.关键词
障碍期权/随机波动/对流扩散方程/有限差分/Craig-Sneyd格法Key words
barrier option/stochastic volatility/convection-diffusion equations/finite difference/Craig-Sneyd scheme分类
管理科学引用本文复制引用
张素梅..随机波动下障碍期权定价的有限差分方法[J].辽宁工程技术大学学报（自然科学版）,2017,36(10):1111-1115,5.基金项目
国家自然科学基金(11601420) （11601420）
陕西省教育厅基金(14JK1672) （14JK1672）
