American option pricing under financial crisis

被引：2
|
作者：
Luo, Xuemei [1 ]
Xiang, Kaili [1 ]
Ding, Chuan [1 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Econ Math, Chengdu 611130, Sichuan, Peoples R China
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2018年 / 34卷 / 05期
基金：
中国国家自然科学基金;
关键词：
American option; financial crisis; penalty method; PENALTY METHODS; SIMULATION;
D O I：
10.1002/asmb.2310
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we take financial crisis into consideration for American call options and put options pricing problems by using a jump diffusion model. Under no-arbitrage pricing principle, we obtain a PDE (partial differential equation), which is different from the PDE derived from the classical Black-Scholes model, it adds a postcrash market index to the primary equation. Then, we introduce the penalty method for solving the nonlinear PDE. Numerical results suggest that the option value will be affected by the crash.
引用
收藏
页码：597 / 606
页数：10
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