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美式债券期权定价问题的有限元方法 被引量:5

A FINITE ELEMENT METHOD FOR PRICING AMERICAN OPTION ON BONDS
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摘要 The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H^1 norms. The aim of this paper is to investigate the finite element methods for pricing the American put option on bonds. Based on a new variational inequality equation for the option pricing problems, both semidiscrete and fully discretized finite element approximation schemes are established. It is proved that the finite element methods are stable and convergent under L2 and H1 norms.
作者 张铁 Zhang Tie (Department of Mathematics, Northeastern University, Shenyang, 110004)
出处 《计算数学》 CSCD 北大核心 2004年第3期277-284,共8页 Mathematica Numerica Sinica
关键词 有限元逼近 美式期权定价问题 变分不等式 有限元 变量代换 American bond option, variational inequality, finite element approximation, stability and convergence
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参考文献11

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