有限体积法定价带随机波动率的欧式期权

摘要

考虑求解带随机波动率的欧式期权定价问题的有限体积方法，先将相应的Black-Scholes 方程简化为与之等价的守恒形式，再基于重心对偶剖分和线性有限元空间，构造向后 Euler 和 Crank-Nicolson 有限体积格式。数值实验表明，所构造的有限体积格式有效。%We considered a finite volume method for pricing European options with stochastic volatility.We first simplified the corresponding Black-Scholes equation to the equivalent conservation form.Then,we constructed backward Euler and Crank-Nicolson finite volume schemes based on barycenter dual partition and a linear finite element space.Numerical experiments show that the proposed finite volume schemes are effective.