Research on Option Pricing Method Based on Partial Differential Equation Algorithm
In the field of modern financial theory research,the core element of the financial derivative pricing problem is the option pricing problem.With the increase of option types and the extension of models,the study of option pricing methods is particularly important.For the option pricing problem that does not have an analytical solution,the accurate solution of the partial differential model equations becomes a key part of solving the problem.Therefore,this study develops a partial differential equation solving algo-rithm based on discontinuous finite element(DGM)by combining numerical solving methods in other fields such as fluid dynamics,and validates and analyses the algorithm by combining different examples,and the ac-curate solution of the algorithm lays a good foundation for the successful pricing of options.
FinanceOption PricingPartial Differential SolutionDiscontinuous Finite Element Method
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维普
