关键词: Black-Scholes模型, 美式看跌期权, 最佳实施边界

Abstract:

This paper deals with the American put option pricing problem governed by the BlackScholes equation. Applying finite difference method coupled with Newton’s method to solve the BlackScholes equation, we can get the numerical approximations of the option price and the optimal exercise boundary simultaneously. Numerical experiments verify the efficiency of the method.

Key words: Black-Scholes model, American put option, optimal exercise boundary