非确定波动率下期权定价模型的有限体积法

Journal of Jilin University Science Edition ›› 2019, Vol. 57 ›› Issue (5): 1095-1103.

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Finite Volume Method of Option Pricing Modelunder Uncertain Volatility

GAN Xiaoting^1,2, XU Dengguo^1,3， ZHAO Renqing¹

1. School of Mathematics and Statistics, Chuxiong Normal University, Chuxiong 675000, Yunnan Province, China;2. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731, China;3. School of Automation, Beijing Institute of Technology, Beijing 100081, China

Received:2019-01-07 Online:2019-09-26 Published:2019-09-19
Contact: GAN Xiaoting E-mail:9xtgan@tongji.edu.cn

Abstract

Abstract: In view of the numerical solution of option pricing model under uncertain volatility, we constructed a fully implicit finite volume scheme of the nonlinear HJB (HamiltonJacobiBellman) equation， and proved the stability, existence and uniqueness of the scheme. The robustness and effectiveness of the proposed method were verified by numerical experiments.

Key words: uncertain volatility option model, finite volume method, HJB equation, numerical experiment

CLC Number:

O241.82

GAN Xiaoting, XU Dengguo, ZHAO Renqing. Finite Volume Method of Option Pricing Modelunder Uncertain Volatility [J].Journal of Jilin University Science Edition, 2019, 57(5): 1095-1103.

[1]	CHEN Guofang, WU Dan, LV Junliang. A Modified Cel-Centered Finite Volume Method for Solving Filtration Equations [J]. Journal of Jilin University Science Edition, 2020, 58(5): 1135-1141.
[2]	GAN Xiaoting, GUAN Nanxing, ZHANG Kun. Finite Volume Method for Pricing European Optionswith Stochastic Volatility [J]. Journal of Jilin University Science Edition, 2016, 54(06): 1307-1313.

Finite Volume Method of Option Pricing Modelunder Uncertain Volatility

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