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基于不确定波动率的非套利流动模型数值解法

牛成虎 周圣武

牛成虎, 周圣武. 基于不确定波动率的非套利流动模型数值解法[J]. 华东师范大学学报(自然科学版), 2012, (1): 121-129, 137.
引用本文: 牛成虎, 周圣武. 基于不确定波动率的非套利流动模型数值解法[J]. 华东师范大学学报(自然科学版), 2012, (1): 121-129, 137.
NIU Cheng-hu, ZHOU Sheng-wu. Numerical solution of a non-arbitrage liquidity model based on uncertain volatility[J]. Journal of East China Normal University (Natural Sciences), 2012, (1): 121-129, 137.
Citation: NIU Cheng-hu, ZHOU Sheng-wu. Numerical solution of a non-arbitrage liquidity model based on uncertain volatility[J]. Journal of East China Normal University (Natural Sciences), 2012, (1): 121-129, 137.

基于不确定波动率的非套利流动模型数值解法

详细信息
  • 中图分类号: O211, F830.9

Numerical solution of a non-arbitrage liquidity model based on uncertain volatility

  • 摘要: 通过引入两种不确定波动率, 将已有非流动市场下的期权定价模型推广到更一般的情形. 由于模型比较复杂, 难以求得解析解, 通过构建相应的差分方程, 讨论了模型的数值解法, 并对算法的稳定性、相容性给予了证明. 最后, 数值实例比较分析了各个变量对期权价格的影响, 结果表明, 文算法放宽了对步长的要求, 在较少的运算量下可以得到较满意的数值结果.
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出版历程
  • 收稿日期:  2010-12-01
  • 修回日期:  2011-03-01
  • 刊出日期:  2012-01-25

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