Improved Additive Operator Splitting Algorithms for Basket Option Pricing Model

摘要：

　　In order to solve Black-Scholes equation of basket option pricing model by numerical method.This paper used Additive Operator Splitting (AOS) algorithm to split the multi-dimensional Binck-Scholes equation into equivalent one-dimensional equation set,and constructed ‘Explicit-Implicit’and ‘Implicit-Explicit’ schemes to solve it.Then compatibility,stability and convergence of those schemes were analyzed.Finally,this paper compared computation time and precision of the schemes through numerical experiments.‘Explicit-Implicit’ and ‘Implicit-Explicit’ schemes of AOS algorithms have both higher accuracy and faster computing speed and them have practical significance in solving basket option pricing model.

关键词： basket option pricing model Additive Operator Splitting (AOS) difference schem stability numerical experiment

作者: Xiaozhong Yang Gaoxin Zhou

作者单位: Dept.Mathematics and physics, North China Electric Power University, Beijing, 102206, China

会议类型: 国际会议

会议名称: 2012 2nd International Conference on Computer and Information Applications(ICCIA2012)(2012第二届计算机和信息应用国际会议)

会议地点: 太原

会议语种:英文

页码: 433-436

在线出版日期: 2012-12-08（万方平台首次上网日期，不代表论文的发表时间）