求解欧式看跌期权两种数值解法的比较

摘要

基于有限差分法、径向基函数法和四级四阶龙格-库塔法(RK4),给出了两种求解欧式看跌期权定价问题的数值计算格式.算例计算结果显示,基于径向基函数法、四级四阶龙格-库塔法的数值计算格式精度更高.%In this paper, based on the finite difference method, radial basis function method and RK4, two numerical methods for European put option pricing are presented.The results of the example show that the accuracy of the radial basis function method is more higher.