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本文考虑二次有限体积法定价美式期权.构造了隐式欧拉和Crank-Nicolson两种全离散二次有限体积格式,并得到相应的线性互补问题.采用基于超松弛迭代的模方法求解线性互补问题,并与投影超松弛迭代法作数值比较.数值实验结果表明Crank-Nicolson二次有限体积格式的求解效率高于隐式欧拉格式,模方法的求解速度较快,二次有限体积法的求解精度较高.
In this paper, the second order finite volume method is used to price the American option. Two fully discrete quadratic finite volume formats of implicit Euler and Crank-Nicolson are constructed and their corresponding linear complementarity problems are obtained. A linear regression model based on over-relaxation iteration The numerical results show that the Crank-Nicolson quadratic finite volume format is more efficient than the implicit Euler scheme, the solution speed of the modal method is faster, and the second order finite volume method Solve the high precision.