Numerical Solution of American Put Options Pricing with Transaction Cost in the CEV Model

被引：0

作者：

Yuan, Guojun ^{[1
]}

Xiao, Qingxian ^{[1
]}

机构：

[1] Univ Shanghai Sci & Technol, Sch Business, Shanghai 200093, Peoples R China

来源：

PROCEEDINGS OF THE 2013 THE INTERNATIONAL CONFERENCE ON EDUCATION TECHNOLOGY AND INFORMATION SYSTEM (ICETIS 2013) | 2013年 / 65卷

关键词：

Option Pricing; American Options; CEV Process; Transaction Cost; Semidiscretization;

D O I：

暂无

中图分类号：

G40 [教育学];

学科分类号：

040101 ; 120403 ;

摘要：

In order to solve the American put options pricing and its numerical solution problems under the CEV model with transaction cost, by using the Ito formula and the no-arbitrage principle, the American put options pricing model and linear complementarity partial differential equation of the model are derived in this paper. Then the semi-discretization difference scheme for the American put options pricing model is developed, based on using semi-discretization for the spatial variable. Lastly, numerical experiments show that the semi-discretization difference scheme is a stable and convergent algorithm.

引用

页码：517 / 520

页数：4

共 11 条

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