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双资产欧式期权定价问题的特征有限元方法

葛志昊, 李婷婷, 王慧芳   

  1. 河南大学 数学与统计学院 & 应用数学所, 开封 475004
  • 收稿日期:2019-05-22 出版日期:2020-03-15 发布日期:2020-03-15
  • 通讯作者: 葛志昊,zhihaoge@henu.edu.cn.
  • 基金资助:

    国家自然科学基金(No:11971150,11801143),河南大学一流学科培育项目支持计划(No.2019YLZDJL08).

葛志昊, 李婷婷, 王慧芳. 双资产欧式期权定价问题的特征有限元方法[J]. 数值计算与计算机应用, 2020, 41(1): 27-41.

Ge Zhihao, Li Tingting, Wang Huifang. THE CHARACTERISTIC FINITE ELEMENT METHOD FOR THE PRICING PROBLEM OF TWO-ASSET EUROPEAN OPTIONS[J]. Journal of Numerical Methods and Computer Applications, 2020, 41(1): 27-41.

THE CHARACTERISTIC FINITE ELEMENT METHOD FOR THE PRICING PROBLEM OF TWO-ASSET EUROPEAN OPTIONS

Ge Zhihao, Li Tingting, Wang Huifang   

  1. School of Mathematics and Statistics & Institute of Applied Mathematics, Henan University, Kaifeng 475004, China
  • Received:2019-05-22 Online:2020-03-15 Published:2020-03-15
本文针对双资产欧式期权定价问题构造了特征有限元方法,给出了此方法的L2-模最优阶误差估计和H1-模最优阶误差估计.数值算例验证了该方法的收敛性与稳定性,同时表明该方法克服了数值震荡现象.
In this paper, we propose a characteristic finite element method for two-asset European options pricing model, and the optimal order error estimates in L2-norm and H1-norm are given. The error analysis and numerical results show that our numerical method has good convergence and stability, and overcomes the numerical oscillation phenomenon at the same time.

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