广东工业大学学报2018，Vol.35Issue(3)：87-89,112,4.DOI:10.12052/gdutxb.170175
跳跃扩散下美式期权定价模型的高效算法
An Efficient Algorithm for American Option Pricing in the Jump-Diffusion Model
杨淑伶1
作者信息
- 1. 广东工业大学 应用数学学院,广东 广州 510090
- 折叠
摘要
Abstract
The efficient numerical methods for solving the American option pricing model under jump-diffusion is studied. First of all, the high accuracy compact difference scheme is applied to discrete the option pricing model in the spatial direction, and discrete the temporal variable of the resulting ordinary differential equation to the linear complementarity problem (LCP). The approximation value of option price is obtained by solving the LCP. Finally, in order to overcome the nonsmoothness of payoff function, the singularity separating method is utilized for the American option pricing model to improve the accuracy of calculation. Numerical examples demonstrate the superiority of the algorithm.关键词
美式期权/高精度紧致差分格式/奇异性分离Key words
American option/high accuracy compact difference scheme/singularity separating method分类
数理科学引用本文复制引用
杨淑伶..跳跃扩散下美式期权定价模型的高效算法[J].广东工业大学学报,2018,35(3):87-89,112,4.
