【摘要】 <正> 本文在通常的Black-Scholes假设下讨论连续观察的巴黎期权的定价问题,并给出其数值结果,基于分数步算法和两点中心隐式差分格式,采取了初值的奇性消除技术,获得了较高的效率和精度,最后分析了容许延迟时间及障碍位置对期权价格的影响。 Wilmott(1999)给出了巴黎期权定价问题的二项树算法,众所周知,二项树算法的局更多还原

【Abstract】 The numerical method of pricing up-and-out call Parision Option based on theBlack-Scholes model is focused in this article. The two-point compact scheme withsecond-order accuracy is used. A technique to remove the singularity of the pay-offfunction is used to make the result more accurate,more effective and more stable.The influence of the delaying time and the barrier on the option price is discussed.更多还原