Numerical Solution of American Put Options Pricing with Transaction Cost in the CEV Model

摘要：

　　In order to solve the American put options pricing and its numerical solution problems under the CEV model with transaction cost, by using the It(o) formula and the no-arbitrage principle, the American put options pricing model and linear complementarity partial differential equation of the model are derived in this paper.Then the semi-discretization difference scheme for the American put options pricing model is developed, based on using semi-discretization for the spatial variable.Lastly, numerical experiments show that the semi-discretization difference scheme is a stable and convergent algorithm.

关键词： Option Pricing American Options CEV Process Transaction Cost Semidiscretization

作者: Guojun Yuan Qingxian Xiao

作者单位: Business School,University of Shanghai for Science and Technology,Shanghai,200093,China ; College of Business School,University of Shanghai for Science and Technology,Shanghai,200093,China

会议类型: 国际会议

会议名称: 2013 International Conference on Education Technology and Information Systems(ICETIS2013)2013教育技术与信息系统国际会议

会议地点: 三亚

会议语种:英文

页码: 517-520

在线出版日期: 2013-06-21（万方平台首次上网日期，不代表论文的发表时间）