支付红利下期权定价模型分组显式差分的并行计算方法

It is very important to study the numerical solution for solving the payment of dividend option pricing model (the payment of dividend Black-Scholes equation) both in theory and practice. This paper gives the group explicit (GE) difference method of the payment of dividend option pricing model, GE difference scheme is constructed based on the improved Saul'yev asymmetric difference scheme, then constructs the alternating group explicit (AGE) difference scheme. Theoretical analysis and numerical experiment demonstrate that GE scheme is conditional stable and AGE scheme is unconditional stable. The numerical experiment shows that AGE scheme can improve the calculation speed rapidly, the calculation time of AGE scheme is 1/2 of the improved Saul'yev asymmetric scheme, which confirms the parallel computation method of AGE finite difference given by this paper can be used to solve the payment of dividend option pricing model effectively.