VALUING EUROPEAN OPTIONS USING THE FINITE ELEMENT METHOD

摘要：

The main objective of this paper is to develop an adaptive finite element method for computation of the values and different sensitivity measures of European options.The options are priced using the Black-Scholes PDE-model, and the resulting PDEs are of parabolic type in one spatial dimension with different boundary conditions and jump conditions at monitoring dates.The adaptive finite element method is based on a posteriori estimates of the error in desired quantities, the suggested adaptive finite element method is stable and gives fast and accurate results.

关键词： Finite element method European options Black-Scholes PDE-model

作者: XIAO-TAO ZHANG CUI-YU LI

作者单位: School of Management, Tianjin University, Tianjin 300072, China School of Textiles, Tianjin Polytechnic University, Tianjin 300160, China

会议类型: 国际会议

会议名称: 2007 International Conference on Machine Learning and Cybernetics(IEEE第六届机器学习与控制论国际会议)

会议地点: 香港

会议语种:英文

页码: 293-296

在线出版日期: 2007-08-19（万方平台首次上网日期，不代表论文的发表时间）