【摘要】 针对不付红利的美式看跌期权,利用有限差分法对股票期权价格所满足的Black-Scholes微分方程进行了数值模拟。通过数值例子对隐式差分格式和显式差分格式的所有缺点加以比较,并通过细网格的剖分得到更精确的解,取得一些实际期权交易中有用的结果。更多还原

【Abstract】 Usingfinite difference methods to simulate the Black-Scholes pricing model is based on non-dividend paying American put option, and get itsnumerical solution. Through numerical example, a comparisonbetween implicit finite difference methodsand explicit finite difference methodis presented. By refinement grid the more exact solution is got, and given some useful conclusionin options trading.更多还原