不确定波动率模型下蝶式期权价格的数值近似

摘要

用隐式差分法给出不确定波动率模型下蝶式期权价格数值解的迭代格式，并证明了数值近似迭代格式的稳定性。%We gave an iterative scheme for the numerical solution of butterfly option price by the implicit difference method,and proved the stability of numerical approximate iterative scheme.