Black-Scholes模型的三次三角B-样条配点法
发布时间：2018-08-06 12:16
【摘要】：本文研究了Black-Scholes欧式期权定价模型的三次三角B-样条配点法.对BlackScholes方程,该方法的空间离散采用三次三角B-样条配点法,时间离散采用向前有限差分,并引入参数θ来建立混合差分格式.利用稳定性分析的Von Neumann(Fourier)方法,本文证明了该格式在1/2≤θ≤1时是无条件稳定的.数值实验显示,该方法的数值结果优于Crank-Nicolson有限差分法和三次B-样条方法.
[Abstract]:In this paper, the cubic trigonometric B-spline collocation method for Black-Scholes European option pricing model is studied. By using the Von Neumann (Fourier) method of stability analysis, it is proved in this paper that the scheme is unconditionally stable at 1 / 2 鈮，
本文编号：2167704
[Abstract]:In this paper, the cubic trigonometric B-spline collocation method for Black-Scholes European option pricing model is studied. By using the Von Neumann (Fourier) method of stability analysis, it is proved in this paper that the scheme is unconditionally stable at 1 / 2 鈮，
本文编号：2167704
本文链接：https://www.wllwen.com/kejilunwen/yysx/2167704.html
