[1]刘哲,孙哲,黄晓梅.求解美式期权定价问题的两类新的迭代算法[J].江西师范大学学报(自然科学版),2013,(04):416-420.
　LIU Zhe,SUN Zhe,HUANG Xiao-mei.Two New Iterative Methods for Solving American Option Pricing Problems[J].Journal of Jiangxi Normal University:Natural Science Edition,2013,(04):416-420.
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求解美式期权定价问题的两类新的迭代算法()
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《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2013年04期
页码:
416-420
栏目:
出版日期:
2013-09-01

文章信息/Info

Title:
Two New Iterative Methods for Solving American Option Pricing Problems
作者:
刘哲;孙哲;黄晓梅
江西师范大学数学与信息科学学院,江西南昌,330022
Author(s):
LIU Zhe；SUN Zhe；HUANG Xiao-mei
关键词:
美式期权; 转换模型; 策略迭代; 局部策略迭代
Keywords:
American option; regime switching model; policy iteration; local policy iteration
分类号:
O211.6；O221.1
文献标志码:
A
摘要:
提出了2类改进的局部策略迭代算法求解一类美式期权定价模型离散得到的优化控制差分方程组,证明了算法的收敛性.数值实验表明了算法的有效性.
Abstract:
Two modified local policy iterative algorithms have been proposed for solving the optimal control difference equations arising from the American option pricing problems.The convergence of the algorithms have been also proved.Numerical experiments show the effectiveness of the algorithms.

参考文献/References:

[1] 姜礼尚.期权定价的数学模型和方法 [M].北京:高等教育出版社,2003.
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[7] Ikonen S,Toivanen J.Efficient numberical methods for pricing American options under stochastic volatility [J].Numer Methods Partial Differential Equations,2008,24(1):104-126.
[8] 段班详,邓洁.线性互补问题的SSOR多分裂算法 [J].江西师范大学学报:自然科学版,2011,35(5):459-463.
[9] Forsyth P A,Vetzal K R.Quadratic convergence for valuing American options using a penalty method [J].J Sci Comput,2002,23(6):2095-2122.
[10] Kennedy J S.Hedging contingent claims in markets with jumps [D].Ontario:University of Waterloo,2007.
[11] Huang Y,Forsyth P A,Labahn G.Combined fixed point and policy iteration for Hamilton-Jacobi-Bellman equations in finance [J].J Numer Anal,2012,50(4):1861-1882.
[12] Giles M B,Carter R.Convergence analysis of Crank-Nicolson and Rannacher time-marching [J].J Comput Finance,2006,9(4):89-112.

备注/Memo

备注/Memo:
国家自然科学基金(11126147,11201197)
更新日期/Last Update: 1900-01-01