美式看跌期权定价的快速傅里叶变换法-计算数学专业毕业论文.docxVIP

重庆大学硕士学位论文 重庆大学硕士学位论文 中文摘要 摘 要 美式期权的定价问题是当前金融学面临的重要研究课题之一。由于美式期权 可以提前执行，故为其定价要比为欧式期权定价困难得多。本文深入剖析了美式 期权特点及其价值形成机理，提出了一种新的快速的高精度的美式看跌期权定价 的数值方法一快速傅里叶变换法。首先，对经典的Black．Scholes期权定价模型进 行了分析，并利用风险中性定价方法推导出了Black．Scholes期权定价公式。然后， 在第三章分别对美式看涨、看跌期权的价值形成机理及其定价进行了较为详细的 论述。在第四章，对美式看跌期权价格所满足的偏微分方程定解问题通过作一系 列变换，使之转化为一个标准的抛物型初、边值问题，接着又通过傅里叶交换， 把抛物型初、边值问题转换为～个关于时间变量7的常微分方程初值问题，然后再 分别利用改进的欧拉法和有限元法对其进行了求解。在数值实验中，对六个美式 看跌期权价格进行了计算，通过分析比较，结果表明：快速傅里叶变换法加欧拉 法是一种快速的高精度的数值计算方法。 关键词：美式期权，风险中性定价方法，傅里叶变换，欧拉法 重庆大学硕士学位论文 重庆大学硕士学位论文 英文摘要 ABSTRACT The pricing problem of the American option is currently studied as of the important items in Finance．Because the American option may early be exercised before the expiration date，its pricing is generally more difficult than that of the European option．The article detailedly researches the characters of the American option and the principle of forming its value，and offers new,very fast and accurate numerical pricing method of the American put oD廿oIr‘‘FFr’method．Firstly,the article studies the classic Black-Seholes Option Pricing Model and concludes the Black·Scholes Option Pricing Formula with the Risk—Neutral valuation method．Secondly,the article in detail researches the forming principle of American call and put values and their computing methods in the thjrd chapter．At the beginning of fourth chapter,the article transforms the solving problem of partial differential equation for the American put price into standard initial and boundary value problem of Parabolic Type by making some transformations．Afterwards，the solving problem of Parabolic Type is transformed into initial value problem of ordinary differential equation with respect to through Fourier transform again．At the last section of the fourth chapter,the article solves the initial value problem with the progressive Euler method and the finite element me血od． By valuing six American put o