THE DIFFERENCE METHODS WITH VARIABLE MESH FOR AMERICAN OPTION PRICING
美式期权定价问题的变网格差分方法

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.