A new kind of effective of algorithms for solving the option pricing model with transaction costs

摘要：

Black-SchoLes equation is an important model in option pricing theory of financial, which is very practical in the application of numerical computation. In this paper, we construct a new kind of effective difference schemes (Explicit-Implicit scheme and Implicit-Explicit scheme) for solving option pricing model with transaction costs (Lelands model), give convergence, stability of analysis and error estimates of the schemes. The analysis demonstrates the schemes are 2-order and unconditional convergence. Finally, the numerical example shows the effectiveness of the schemes.

关键词： Lelands model Explicit-Implicit scheme Implicit-Explicit scheme computing stablity convergence errorestimate

作者: Xiaozhong Yang Lifei Wu

作者单位: School of mathematics and physics North China Electric Power University Beijing, China School of mathematics and physics North China Electric Power University Beijing China

会议类型: 国际会议

会议名称: 2011 International Conference on Electronic & Mechanical Engineering and Information Technology(EMEIT 2011)(2011年机电工程与信息技术国际会议)

会议地点: 哈尔滨

会议语种:英文

页码: 1698-1701

在线出版日期: 2011-08-12（万方平台首次上网日期，不代表论文的发表时间）