| 半差分格式在支付交易费用的欧式看涨期权定价模型中的应用 |
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| 引用本文： | 段国东,蒋建,牛成虎. 半差分格式在支付交易费用的欧式看涨期权定价模型中的应用[J]. 茂名学院学报, 2011, 21(4): 59-62 |
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| 作者姓名： | 段国东 蒋建 牛成虎 |
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| 作者单位： | 中国矿业大学理学院,江苏徐州,221008 |
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| 摘 要： | 主要研究了带有交易费时的欧式看涨期权定价模型的一种数值解法,利用半差分技术对已构造的偏微分方程做离散处理,并引入四阶Lagrange插值多项式对边界进行拓展,使得所有网格点均在离散域中。数值实例验证了该文方法的有效性。
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| 关 键 词： | 期权定价模型 半差分 数值解 欧式看涨期权 |
Numerical Solution to European Call Option Pricing Model Transaction Costs by Semidiscretization Technique |
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| DUAN Guo-dong,JIANG Jian,NIU Cheng-hu. Numerical Solution to European Call Option Pricing Model Transaction Costs by Semidiscretization Technique[J]. Journal of Maoming College, 2011, 21(4): 59-62 |
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| Authors: | DUAN Guo-dong JIANG Jian NIU Cheng-hu |
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| Affiliation: | DUAN Guo-dong,JIANG Jian,NIU Cheng-hu(College of Science,China University of Mining and Technology,Xuzhou 221008,China) |
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| Abstract: | Numerical method of European call option pricing model with Transaction Costs was provided in this paper.Partial differential equation,which adopted fourth-order Lagrange interpolating polynomial to expand boundary values making all the neighbors mesh internal nodes in domain,was discredited by the semidiscretization technique.Numerical results coincide with the theoretical results. |
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| Keywords: | option price model semidiscretization technique numerical solution European call option |
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