重庆理工大学学报：自然科学
重慶理工大學學報：自然科學
중경리공대학학보：자연과학
Journal of Chongqing Institute of Technology
2011年
11期
106-110
,共5页
钟坚敏%柴昱洲%孔繁博%汤国斌%秦僖
鐘堅敏%柴昱洲%孔繁博%湯國斌%秦僖
종견민%시욱주%공번박%탕국빈%진희
美式期权%看跌期权%有限差分法%Kronecker积
美式期權%看跌期權%有限差分法%Kronecker積
미식기권%간질기권%유한차분법%Kronecker적
product american options%put options%finite difference method%kronecker product
针对美式看跌期权的定价问题,利用隐式有限差分法,并设定边界条件,将其转化成矩阵方程。应用Kronecker积对其进行数值求解。数值计算证明了该方法的实用性。
針對美式看跌期權的定價問題,利用隱式有限差分法,併設定邊界條件,將其轉化成矩陣方程。應用Kronecker積對其進行數值求解。數值計算證明瞭該方法的實用性。
침대미식간질기권적정개문제,이용은식유한차분법,병설정변계조건,장기전화성구진방정。응용Kronecker적대기진행수치구해。수치계산증명료해방법적실용성。
In the financial field,Option pricing is an important research direction.In this article We focus on the pricing of American put option.By introducing boundary condition and using finite difference method,this differential equations can be converted to matrix form.We apply the Kronecker Product to solve matrix equations.Numerical results show that this is a practical method.
