隐式双离散方法定价Merton跳扩散期权模型

An Implicit Double Discretization Method for Pricing Options under Metron’s Jumpdiffusion Model

摘要:

构造隐式双离散方法定价Merton跳扩散模型下的欧式和美式期权.给出了该离散方法的稳定性分析.数值实验表明,所构造的方法是有效稳健的，比显式格式具有明显的优势.

关键词:隐式双离散; Merton跳扩散期权模型; 稳定性

Abstract:

An implicit double discretization method is developed for pricing European and American options under Merton's jumpdiffusion model. Stability of the method is discussed. Numerical experiments show that the proposed method is effective and robust, and has advantages over the explicit scheme.

Key words:implicit double discretization; Merton's jumpdiffusion options model; stability