%0 Journal Article
%T THE DIFFERENCE METHODS WITH VARIABLE MESH FOR AMERICAN OPTION PRICING<br>美式期权定价问题的变网格差分方法
%A Zhang Tie Zhu Danmei
%A <br>张铁
%A 祝丹梅
%J 计算数学
%D 2008
%I 
%X In this paper,the difference methods with variable meshes are proposed for the Amer- ican option pricing problems in the free boundary value form.By means of an equation derived for the free boundary,the option values and the optimal exercise boundary can be computed simultaneously by using the variable mesh technique.Both explicit and implicit difference schemes are discussed,and the stability and convergence are analyzed.Numerical experiments show that the new algorithm is very efficient for option pricing problems.
%K American option pricing
%K free boundary problem
%K variable meshes difference scheme
%K stability and convergence
%K numerical computation<br>美式期权定价
%K 自由边值问题
%K 变网格差分算法
%K 稳定和收敛性
%K 数值计算
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=6E709DC38FA1D09A4B578DD0906875B5B44D4D294832BB8E&cid=37F46C35E03B4B86&jid=CC77F3CEF526D9CF0B3021650FB4E57E&aid=8E518C1179BFED70876ACB81B2E6E390&yid=67289AFF6305E306&vid=340AC2BF8E7AB4FD&iid=E158A972A605785F&sid=9EF602EA28138BEA&eid=117BC32987199759&journal_id=0254-7791&journal_name=计算数学&referenced_num=0&reference_num=10