哈尔滨商业大学学报（自然科学版）2023，Vol.39Issue(6)：732-741,10.
分数阶CEV模型下亚式期权的显-隐差分格式
E-I difference schemes of Asian options under fractional-order CEV model
摘要
Abstract
Aiming at the problem of arithmetic Asian option pricing under the time fractional CEV model,a difference method to solving the option price was proposed.A high-precision explicit difference scheme and a high-precision implicit difference scheme were obtained by finite difference.The high-precision explicit difference scheme was used in the layer,and the high-precision implicit difference scheme was used in the even-numbered layer.Combi-ning and simplifying these two expressions yields the explicit-implicit difference scheme.The opposite method can be used to obtain the implicit-explicit difference scheme.The stablility and convergence of the difference scheme are verified by the Fourier method and mathemati-calinduction.The numerical simulations showed that the difference scheme was feasible for solving fractional-order CEV model.关键词
亚式期权/CEV模型/显-隐差分格式/隐-显差分格式/稳定性/收敛性Key words
Asian options/CEV model/explicit-implicit difference scheme/implicit-explicit difference scheme/stablility/convergence分类
数理科学引用本文复制引用
龙敏,孙玉东..分数阶CEV模型下亚式期权的显-隐差分格式[J].哈尔滨商业大学学报（自然科学版）,2023,39(6):732-741,10.基金项目
贵州省教育厅青年科技人才成长项目(黔教合KY字[2016]168). （黔教合KY字[2016]168）
