美式期权定价问题的数值方法分析-运筹学与控制论专业毕业论文.docxVIP

III III 山东大学硕士学位论文 The numerical methods of American optionspricing problems Zhang Lci School of Mathematics and System Scienc部， Shandong Univ. ，Jillall 250100 ABSTRACT The Black-Scholes model assumes COllstant volatility fo1 the p1ice of the uuderlying asset. Fo1 stock options this simple a..)set price model does IlOt lead to p1ices which would be consis毛ent with the observed markel prices .Ill the real market we have to consider some optio邸，whose price is composed by the backward stochastic differential cquatioIl and martingale mcthods.The high dimensional Black-Scholes equation have the form as fo11ows: 8Yδ2V _ 82V 82γ δVδV 一- .，→一 一- ..一 + d a +e一十 rV= f ， 位，y) εn，tε 币，坷， δt - 8x2 - δx8y - δy2 V(x，岁， 0) γ (x，y ，t) 在 δu =l电怡，y) 、 怡，y) εn， =l气件，y ，t)， 位，的 ε r，t ε 仰，T]， (0.0.2) Many diffcren毛 gcneralizations giving more consistent priccs have becn proposed.One such approach is to assume 毛 he volatility to be also stochastic in additioll t。在he stochastic return component of the simplc asse毛 price model ，thc popular case is Hes毛ons modeL For European options the price is obtailled by solving a parabolic partial differeu- tial equatioll (PDE).The spatial operator is of convection diffusion type with varyi吨 coe自cients 缸1 a second-order cross-derivative .In orde1 to have a numerical solutioIl tìlis two-dimensional spatial operator is discretized using 毛he PDE mcthods，like finite element method ，直nite differcnce method and finitc volume method 汛Te should take great notice to the approximatioIls of the couvectioll and secolld-order cross-derivative tern后，since they can influence the schemesproperty ，such as whether or Ilot satisfying the max priIlciple theorem.As well 部 we known ，Ifa schcme satisfies the max principle 出eo1em，it will have good stcady prope 1可.Howcre1，in thc 1esearches bcforc ，there are few schemes of high di- mensional PDEs have this p1operty. Arnerican optiollS can be exercised anytime during thεli