【摘要】 本文基于Black-Scholes模型,考虑将有限差分方法中显隐两种格式结合起来用来求解期权定价问题,我们采用交替显-隐格式和交替隐-显格式,对美式看跌期权进行了数值计算,该方法既可以有隐式格式的稳定性,又能简化计算量,并将此种方法与单纯使用显格式、隐格式所得的结果进行比较,同时给出了具体数值算例,数值结果表明了算法的有效性。更多还原

【Abstract】 In this paper,based on the Black-Scholes model,we consider the finite difference method combined with the explicit and implicit schemes which are used to solve the option pricing problem.The pricing for American put options are computed by using the implicit-explicit and explicit-implicit alternating finite difference method,which can be not only the stability of implicit scheme,but also to simplify the calculation.The speed and accuracy of the procedure for this method are compared against existing explicit scheme and implicit scheme with numerical examples,and the numerical results show that the algorithm is more effective.更多还原