| 摘要: |
| 摘 要:基于对流扩散微分方程的基本解方法(简记为MFS方法)求解由欧式期权的B - S模型,即B -
S微分方程所派生出的标准形式;在考虑了美式期权的特点与MFS方法的特性之后,将MFS方法推广到了
美式期权的求解;最后给出了实证分析,结果表明用采用MFS方法可以得到精确、有效的数值解。 |
| 关键词: 关键词:基本解方法 美式看跌期权 对流扩散方程 |
| DOI： |
| 分类号: |
| 基金项目: |
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| The application of the method of fundamental solutionsfor solvingAmerican put options |
|
TANG Yao2zong
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| Abstract: |
| Abstract: Based on the convection2diffusion fundamental solution method, the resulted canonical form of the
European2style op tion’s p ricing model: B2S differential equation, has been solved. Also, the MFS method has
been expanded to the American op tion of single asset after considering the characteristics ofMFS and American op2
tion. Finally, numerical examp les, showed the efficiency and p racticability of the algorithm. |
| Key words: Key words: theMFS method American put op tions convection2diffusion equation |
