| 跳跃扩散下双障碍期权定价的数值解 |
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| 引用本文：杨淑伶.跳跃扩散下双障碍期权定价的数值解[J].经济数学,2011,(4):86-89 |
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| 中文摘要:提出了一种求解带有跳跃的双障碍期权定价模型的数值方法.算法采用了Crank-Nicolson有限差分格式和复化梯形公式对模型进行离散，对离散后的线性系统采用GMRES迭代法求解，并且构造了一个新的预处理算子以加速迭代法的收敛.数值实验验证了该方法能快速求解模型并达到二阶收敛精度. |
| 中文关键词:双障碍期权，跳跃扩散过程，Crank-Nicolson格式，GMRES迭代法，预处理算子 |
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| Numerical Solutions for Pricing Double Barrier Options under Jump-diffusion |
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| Abstract:A numerical method was proposed for double barrier options under jump-diffusion. Crank-Nicolson scheme and composite trapezoid formula were applied to discretize the pricing model. The resulting linear system was solved by GMRES with a preconditioner. Numercial experiments show this algorithm can fastly obtain solutions and reach second order convergence accuracy. |
| keywords:double barrier options jump-diffusion Crank-Nicolson scheme GMRES preconditioner |
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