吉林大学学报（理学版）
吉林大學學報（理學版）
길림대학학보（이학판）
JOURNAL OF JILIN UNIVERSITY(SCIENCE EDITION)
2014年
5期
949-953
,共5页
李景诗%王智宇%朱本喜%宋海明
李景詩%王智宇%硃本喜%宋海明
리경시%왕지우%주본희%송해명
Black-Scholes模型%美式看跌期权%最佳实施边界
Black-Scholes模型%美式看跌期權%最佳實施邊界
Black-Scholes모형%미식간질기권%최가실시변계
Black-Scholes model%American put option%optimal exercise boundary
考虑Black-Scholes模型下美式看跌期权的定价问题。采用有限差分法和 Newton法耦合求解Black-Scholes方程，得到了期权价格和最佳实施边界的数值逼近结果。数值实验验证了算法的有效性。
攷慮Black-Scholes模型下美式看跌期權的定價問題。採用有限差分法和 Newton法耦閤求解Black-Scholes方程，得到瞭期權價格和最佳實施邊界的數值逼近結果。數值實驗驗證瞭算法的有效性。
고필Black-Scholes모형하미식간질기권적정개문제。채용유한차분법화 Newton법우합구해Black-Scholes방정，득도료기권개격화최가실시변계적수치핍근결과。수치실험험증료산법적유효성。
This paper deals with the American put option pricing problem governed by the Black-Scholes equation.Applying finite difference method coupled with Newton’s method to solve the Black-Scholes equation,we can get the numerical approximations of the option price and the optimal exercise boundary simultaneously.Numerical experiments verify the efficiency of the method.
