美式期权高阶紧致差分定价方法研究-金融工程专业毕业论文.docxVIP

IlIl●__lIIll●I__I-I_lI●_lIl__●ll_l_-_●I-I●●-_ll_l_l____●l__l_l_l__l。●l IlIl●__lIIll●I__I-I_lI●_lIl__●ll_l_-_●I-I●●-_ll_l_l____●l__l_l_l__l。●l 和对标的资产、波动率两个维度同时进行网格拉伸两种方式。本方法也取得了明显的 效果。 期权定价方法的改进有助于企业进行更精细的风险管理，同时促进期权市场的发 展并提高现货市场的流动性。这是本文的研究意义所在。 关键词：美式期权定价；高阶紧致：前向固定；网格拉伸 II 万方数据 AbstractSince Abstract Since 1 970s，the options market has began to rise．After more than 40 years’rapid development，the options market has become the most important part of the derivatives market．On February 9，201 5，Shanghai introduced the Shanghai Stock Exchange(SSE)50 ETF options，China began to carry out the options trading formally．Though Chinese options market developed rapidly in the last year,there still exists huge gap with the international mature options market in the scale of the options market due to late start，that is to say, Chinese options market have a tremendous development space， Accurate pricing is the basic premise for options acting as a risk management tool，But because of it can be performed in advance，the American options pricing models don’t have analytical solution at most times．That is why the American options pricing problem is always one of the most important and popular issues in the discipline of financial mathematics， As the most classical options pricing model，there many research achievements about B．S model．Among them，D．Y．Tangman proposed to take a front·fixing point transformation to the partial differential equation(PDE)and this changes the unknown boundary into fixed boundary,and then D．Y．Tangman discretized the PDE by using the High．order compact format．There two fictitious points E+1 and器1 in the discrete format．When dealing with the virtual point，D．Y Tangman assumed that the options price at the fictitious points equaled to the value of transformed payoff function directly．This method lowered the precision of the whole format．At the same time，front—fixing point transformation turned the linear PDE to a nonlinear PDE． Bertram Daring and Michel Foumi6 ap