【摘要】：本文研究了Black-Scholes歐式期權(quán)定價(jià)模型的三次三角B-樣條配點(diǎn)法.對BlackScholes方程,該方法的空間離散采用三次三角B-樣條配點(diǎn)法,時(shí)間離散采用向前有限差分,并引入?yún)?shù)θ來建立混合差分格式.利用穩(wěn)定性分析的Von Neumann(Fourier)方法,本文證明了該格式在1/2≤θ≤1時(shí)是無條件穩(wěn)定的.數(shù)值實(shí)驗(yàn)顯示,該方法的數(shù)值結(jié)果優(yōu)于Crank-Nicolson有限差分法和三次B-樣條方法.
[Abstract]:In this paper, the cubic trigonometric B-spline collocation method for Black-Scholes European option pricing model is studied. By using the Von Neumann (Fourier) method of stability analysis, it is proved in this paper that the scheme is unconditionally stable at 1 / 2 鈮，

本文編號：2167704