基于最优实施边界的美式期权定价的数值方法

J4 ›› 2012, Vol. 47 ›› Issue (3): 110-119.

基于最优实施边界的美式期权定价的数值方法

郭尊光¹,孔涛²*,李鹏飞², 张微²

1.太原工业学院理学系, 山西太原 030008; 2.山东大学数学学院, 山东济南 250100

收稿日期:2011-01-23 出版日期:2012-03-20 发布日期:2012-04-01
通讯作者: 孔涛(1988- ),男，博士,研究方向金融数学与金融工程. Email:tkong@mail.sdu.edu.cn
作者简介:郭尊光(1978- ),男，讲师,研究方向为应用数学. Email:ruilangs@yahoo.com.cn
基金资助:
山东省自然科学基金资助项目(ZR2011AZ002)

Numerical methods for pricing American options upon the optimal exercise boundary

GUO Zun-guang1, KONG Tao2*, LI Peng-fei2, ZHANG Wei2

1. Department of Science, Taiyuan Institute of Technology, Taiyuan 030008, Shanxi, China;
2. School of Mathematics, Shandong University, Jinan 250100, Shandong, China

Received:2011-01-23 Online:2012-03-20 Published:2012-04-01

摘要/Abstract

摘要：

对美式期权的最优实施边界提出了复合梯形格式、复合左矩形格式和复合右矩形格式3种数值格式,通过数值试验对所提格式进行了数值分析和比较,选出了求解美式期权最优实施边界的精度高效果好的复合梯形格式,利用此格式提出了求解美式期权定价的数值求解格式,且对美式期权定价进行了数值模拟。

关键词: 美式期权定价;最优实施边界;数值方法;数值模拟

Abstract:

Numerical methods of American options are studied. Three numerical schemes arose for solving the optimal exercise boundary of the American option: the composite trapezoid scheme, composite left rectangular scheme and composite right rectangular scheme. In numerical tests, these three schemes are compared with each other, and finally it is concluded that the composite trapezoid scheme is the best one. Based on numerical schemes of the optimal exercise boundary, a numerical scheme for solving American options is presented by the decomposition of the American option. At last a simulation of an American option is given by this scheme.

Key words: numerical method; American option; optimal exercise boundary; simulation

郭尊光1,孔涛2*,李鹏飞2, 张微2. 基于最优实施边界的美式期权定价的数值方法[J]. J4, 2012, 47(3): 110-119.

GUO Zun-guang1, KONG Tao2*, LI Peng-fei2, ZHANG Wei2. Numerical methods for pricing American options upon the optimal exercise boundary[J]. J4, 2012, 47(3): 110-119.

参考文献

多维度评价

Viewed

Full text

Abstract

Cited

Shared

Discussed