| The Differential Scheme of Pricing for American Put Options |
| |
| 作者姓名： | LI Yu-li JIN Chao-song |
| |
| 摘 要： | Based on the differential scheme,presents a numerical method of pricing for American put options.Firstly,the partial differential equation satisfied by the option price is transformed into a series of differential equations.Then,these differential equations are solved by the iterative method.The numerical method includes the implicit finite difference method and the explicit finite difference method and these two methods are compared.Finally,a numerical example is given and the validity of the algorithm is checked by a series of experiments.Some useful results are obtained for its application in the option markets.
|
| 关 键 词： | American put options finite difference method |
| 修稿时间： | 2004/1/10 0:00:00 |
The Differential Scheme of Pricing for American Put Options |
| |
| LI Yu-li,JIN Chao-song.The Differential Scheme of Pricing for American Put Options[J].Storage & Process,2004(4):110-114. |
| |
| Authors: | LI Yu-li JIN Chao-song |
| |
| Abstract: | Based on the differential scheme,presents a numerical method of pricing for American put options.Firstly,the partial differential equation satisfied by the option price is transformed into a series of differential equations.Then,these differential equations are solved by the iterative method.The numerical method includes the implicit finite difference method and the explicit finite difference method and these two methods are compared.Finally,a numerical example is given and the validity of the algorithm is checked by a series of experiments.Some useful results are obtained for its application in the option markets. |
| |
| Keywords: | American put options finite difference method |
|
| 点击此处可从《保鲜与加工》浏览原始摘要信息 |
| 点击此处可从《保鲜与加工》下载免费的PDF全文 |
