关于布莱克-斯科尔斯美式看涨期权模型

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-05-25 DOI:10.1007/s10614-024-10623-3

Morteza Garshasbi, Shadi Malek Bagomghaleh

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引用次数: 0

摘要

本研究将 Black-Scholes 美式看涨期权模型视为移动边界问题。利用前固定方法，将该模型推导为一个定域非线性抛物线问题，并确定了看涨期权价格和临界股票价格的唯一性。建立了数值求解该问题的迭代法，并证明了迭代法的收敛性。在计算实现方面，采用了有限差分方案和二阶 Runge-Kutta 方法。最后，报告了两个测试问题的数值结果，以证实我们的理论成果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On a Black–Scholes American Call Option Model

This study focuses on the Black–Scholes American call option model as a moving boundary problem. Using a front-fixing approach, the model is derived as a fixed domain nonlinear parabolic problem, and the uniqueness of both the call option price and critical stock price is established. An iterative approach is established to numerically solve the problem, and the convergence of the iterative method is proved. For computational implementation, a finite difference scheme in conjunction with a second-order Runge–Kutta method is conducted. Finally, the numerical results for two test problems are reported in order to confirm our theoretical achievements.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.