论文标题
美国PUT选项模型的前固定隐性有限差异方法
A Front Fixing Implicit Finite Difference Method for the American Put Options Model
论文作者
论文摘要
在本文中，我们提供了一种隐含的有限差异方法，用于对无股息支付的美国PUT选项的数值解决方案的数值解决方案。我们通过使用前固定方法同时计算期权价格和早期练习边界的前固定方法结合了提出的数值方法。研究了该方法的一致性和稳定性。我们选择通过基于Richardson的推断来提高计算解决方案的准确性。与一些针对美国期权问题提出的方法进行了比较，以验证获得的数值结果并显示提出的数值方法的效率。最后，通过\ textit {a posteriori}误差估计器，我们找到了一个合适的计算网格，要求计算的解决方案验证前缀的公差。
In this paper, we present an implicit finite difference method for the numerical solution of the Black-Scholes model of American put options without dividend payments. We combine the proposed numerical method by using a front fixing approach where the option price and the early exercise boundary are computed simultaneously. Consistency and stability properties of the method are studied. We choose to improve the accuracy of the computed solution via a mesh refinement based on Richardson's extrapolation. Comparisons with some proposed methods for the American options problem are carried out to validate the obtained numerical results and to show the efficiency of the proposed numerical methods. Finally, by \textit{a posteriori} error estimator, we find a suitable computational grid requiring that the computed solution verifies a prefixed tolerance.
