非线性Black-Scholes方程的JFNK方法求解
JFNK Method to solving Non-linear Black-Scholes Equation
本文首先介绍了一维非线性Black-Scholes期权定价模型,并构造该模型的 Crank-Nicolson 差分格式,然后分析了格式的稳定性。最后,用JFNK方法求解非线性Black-Scholes模型。同时,将非线性模型的计算结果与经典线性模型的解进行比较知,运用JFNK 方法解非线性Black-Scholes方程式有效的。
his paper deals with 1D nonlinear Black-Scholes option pricing model and forms the Crank-Nicolson scheme. Then the stability analysis of the scheme is presented. Finally, the JFNK method is executed to solve the nonlinear Black-Scholes model. Meanwhile, the comparison between the numerical solution by JFNK method to the nonlinear Black-Scholes model and the solution to famous (linear) Black-Scholes equation is illustrated. It shows that this method is efficient.
吴立飞、程小萍、曹艳华
数学财政、金融
金融数学非线性Black-Scholes方程JFNK方法稳定性数值试验
Financial MathematicsNon-linear Black-Scholes EquationJFNK MethodStabilityNumerical Solution
吴立飞,程小萍,曹艳华.非线性Black-Scholes方程的JFNK方法求解[EB/OL].(2015-07-03)[2025-08-23].http://www.paper.edu.cn/releasepaper/content/201507-29.点此复制
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