【摘要】 考虑随机波动率下美式期权定价问题的数值模拟求解.针对描述美式期权定价的二维问题提出了一类新的有限体积九点格式和相应的算子分裂格式,该格式对对流项占优问题,用迎风技术近似对流项;同时,结合对流的方向近似二阶混合导数.提出的格式有极大值原理和一致误差估计.最后为说明所提格式的有效性,给出了几个数值算例.更多还原

【Abstract】 The numerical solution for pricing American options under stochastic volatility is considered.A new type of 9-points finite volume scheme and related operator splitting scheme are proposed.This scheme is proved to satisfy the maximum principle and the error estimates are derived.Numerical results are presented to show the validity of this scheme.更多还原