求解美式期权定价问题的预估校正方法

摘要

We proposed a prediction-correction method for pricing American options.We transformed the option pricing problem into a linear complementary problem on a bounded domain via variable substitution and truncation technique,and discretized it via a finite difference method.For the resulting discretized system was solved by a prediction-correction method.Numerical experiments show that the proposed method can solve the American option pricing problem fast and accurately.%考虑求解美式期权定价问题的预估校正方法。先通过变量替换和截断技巧将美式期权定价问题转化为有界区间上的线性互补问题，再采用有限差分法离散该问题。对于离散后的系统，采用预估校正方法进行求解。数值实验表明，该算法能快速准确地模拟不同参数下的美式期权价格。