Pricing European put option based on the uncertain volatility
Based on the uncertain volatility model, a nonlinear Black-Scholes equation of numerical algorithm is presented. Using the Crank-Nicolson method can discrete the nonlinear partial differential equation into difference equations, we get the matrix form. Then the uncertain volatility model is improved by using the forward difference method to enhance its accuracy. We obtain numerical solution of the European put option. In this paper, we give numerical examples to verify the validity of the algorithm and analyze the effects of the uncertain volatility on European put option pricing.
nonlinear Hamilton-Jacobi-Bellman equation European put option finite difference Crank-Nicolson method
Zhengjie Li Shengwu Zhou Xingyong Zhang Yan Liang
School of science, China University of Mining and Technology ,Xuzhou, 221116
国际会议
The Third International Conference on Modelling and Simulation(第三届国际建模、计算、仿真、优化及其应用学术会议 ICMS 2010)
无锡
英文
172-176
2010-06-04（万方平台首次上网日期，不代表论文的发表时间）