四川师范大学学报（自然科学版）2018，Vol.41Issue(2)：246-251,6.DOI:10.3969/j.issn.1001-8395.2018.02.015
三次B-样条配点法定价欧式看跌期权
Cubic B-spline Collocation Method for Pricing European Put Option
摘要
Abstract
A cubic B-spline collocation method is proposed for pricing Black-Scholes European put option model based on rede-fined basis functions. The Black-Scholes partial differential equation is discreted with this improved cubic B-spline collocation method and the finite difference method. The stability of difference scheme is analyzed and a stability condition is obtained. The results of a numerical experiment illustrate the accuracy of the constructed method,which improves the calculation efficiency. It is shown that the Crank-Nicolson scheme is better than the implicit Euler scheme.关键词
欧式看跌期权/Black-Scholes方程/三次B-样条/有限差分Key words
European put option/Black-Scholes equation/cubic B-spline/finite difference分类
数理科学引用本文复制引用
吴蓓蓓..三次B-样条配点法定价欧式看跌期权[J].四川师范大学学报（自然科学版）,2018,41(2):246-251,6.基金项目
国家自然科学基金(11271289和11502141) （11271289和11502141）
