第11节 隐式有限差分法计算期权价格
11.1 简介
我们这里也以美式看跌期权为例。类似显示有限差分法,我们也先将微分方程表示为差分形式。只是这时 ∂ f ∂ t ( i , j ) \frac{\partial f}{\partial t}(i,j) ∂t∂f(i,j)的表示是向前近似。首先同样的,我们让
Δ S = S m a x M , Δ t = T N , S m a x = 3 S 0 , f ( i , j ) = f ( i Δ t , j Δ S ) , S ( i , j ) = j Δ S . \Delta S = \frac{S_{max}}{M}, \; \Delta t = \frac{T}{N},\; S_{max} = 3S_0,\; f(i,j) = f(i\Delta t, j\Delta S),\;S(i,j)= j\Delta S\;. ΔS=MSmax,Δt=NT,Smax=3S0,f(i,j)=f(iΔt,jΔS),S(i,j)=jΔS.
然后由
∂ f ∂ t ( i , j ) + r S ( i , j ) ∂ f ∂ S ( i , j ) + 1 2 σ 2 S 2 ( i , j ) ∂ 2 f ∂ S 2 ( i , j ) = r f ( i , j ) , \frac{\partial f}{\partial t}(i, j) +rS(i,j)\frac{\partial f}{\partial S}(i,j)+\frac{1}{2}\sigma^2S^2(i,j)\frac{\partial^2f}{\partial S^2}(i,j)=rf(i,j)\;, ∂t∂f(i,j)+rS(i,j)∂S∂f(i,j)+21σ2S2(i,j)∂S2∂2f(i,j)=rf(i,j),
∂ f ∂ t ( i , j ) = f ( i + 1 , j ) − f ( i , j ) Δ t , \frac{\partial f}{\partial t}(i,j) = \frac{f(i+1,j)-f(i,j)}{\Delta t}\;, ∂t∂f(i,j)=Δtf(i+1,j)−f(i,j),
∂ f ∂ S ( i , j ) = f ( i , j + 1 ) − f ( i , j − 1 ) 2 Δ S , \frac{\partial f}{\partial S}(i,j) = \frac{f(i,j+1)-f(i,j-1)}{2\Delta S}\;, ∂S∂f(i,j)=2ΔSf(i,j+1)−f(i,j−1),
∂ 2