广义CEV模型下欧式未定权益的一种紧致差分格式
A Compact Difference Scheme for European Contingent Claim in Generalized CEV Models
胡青 1孙玉东2
作者信息
- 1. 贵州民族大学数据科学与信息工程学院,贵阳 550025
- 2. 贵州民族大学政治与经济管理学院,贵阳 550025
- 折叠
摘要
针对广义CEV模型下欧式未定权益定价的问题,提出一种紧致差分格式求解方法.首先,采用Crank-Nicolson格式对时间进行半离散.其次,在时间离散的基础上,采用紧致差分格式对空间进行离散,构造一个时间2阶空间4阶精度的紧致差分格式,并且证明该格式是无条件稳定的.最后,通过数值实验验证该方法的可行性.
Abstract
A compact difference scheme is proposed to solve the problem of European contingent claim pricing under generalized CEV model.Firstly,the time is semi-discretized using the Crank-Nicolson scheme.Secondly,on the basis of time discretization,the space is discretized using compact differential scheme,and a compact differential scheme with time order 2 and space order 4 precision is constructed.The scheme is proved to be unconditionally stable.Finally,the feasibility of the proposed method is verified by numerical experiments.
关键词
广义CVE模型/欧式未定权益/Crank-Nicolson格式/紧致差分格式Key words
generalized CVE model/European contingent claim/Crank-Nicolson scheme/compact difference scheme引用本文复制引用
出版年
2024
NETL
NSTL
万方数据