摘要
针对多维美式勒式期权定价问题,在B-S公式的基础上通过变换将多个相关的标的资产转换为互不相关的过程,推导出独立化偏微分方程,采用条件收敛的显式差分格式离散多维美式勒式期权定价问题的空间和时间,并给出了显示差分格式的收敛条件。最后,以三维极大美式勒式期权为例验证了之前构建的有限差分定价模型的计算有效性,并进一步分析了波动率、相关系数和执行价格等参数对勒式期权价值的影响。
For pricing of multi dimensional American style options,based on B-S formula,multi related underlying asset is transferred into the unrelated process by conversion,so independent partial differential equation is derived;converged explicit difference scheme was used to disperse space and time of multi dimensional American style options pricing,giving condition of convergence for difference scheme.Finally,taking three-dimensional maximum American style options as example to verify the availability of finite difference pricing model built early,further analyze the effect of volatility,correlation coefficient and exercise price on style options value.
作者
杜军
韩子惠
李佳欣
Du Jun;Han Zihui;Li Jiaxin(College of Management and Economics,Tianjin University,Tianjin 300072,China)
出处
《甘肃科学学报》
2018年第2期141-146,共6页
Journal of Gansu Sciences
基金
教育部人文社会科学研究规划基金(16YJA790011)
关键词
美式勒式期权
多维期权
有限差分
期权定价
American style options
Multi-dimensional option
Finite difference
Option pricing
作者简介
杜军(1972-),男,山东青岛人,副教授,研究方向为供应链金融、财务管理。E-mail:dujun@tju.edu.cn
