吉首大学学报（自然科学版）2025，Vol.46Issue(2)：23-30,8.DOI:10.13438/j.cnki.jdzk.2025.02.003
美式回望期权定价问题的格子Boltzmann模型求解
Lattice Boltzmann Model for Pricing American Lookback Option
摘要
Abstract
The lattice Boltzmann model(LBM)is used to solve the pricing problem of the American look-back option.The domain truncation technique and the penalty method are used to transform the linear complementary model satisfied by the lookback option into a one-dimensional nonlinear parabolic prob-lem on a bounded domain,and LBM is introduced for the transformed bounded domain problem.The macroscopic equation is recovered by selecting appropriate equilibrium distribution functions and amen-ding functions.The numerical simulation results show that the option prices obtained by LBM agree well with the results derived from the binomial tree method and other methods,which verify the effectiveness of the model in solving the pricing problem of the American lookback option.关键词
格子Boltzmann模型/美式回望期权/线性互补问题/区域截断技巧/惩罚法Key words
lattice Boltzmann model/American lookback option/linear complementarity problem/domain truncation technique/penalty method分类
数学引用本文复制引用
张艺,武芳芳,张琪..美式回望期权定价问题的格子Boltzmann模型求解[J].吉首大学学报（自然科学版）,2025,46(2):23-30,8.基金项目
辽宁省教育厅高等学校基本科研项目(LJKMZ20220484) （LJKMZ20220484）
