| 朱幼蘭
教授 ( 北卡大學數學系 )
Some problems in numerical methods for
financial derivatives
摘要 |
| In this talk we discuss how the singularity-separating method (SSM) can
be applied to the problem of double moving barrier options with rebates. Since the SSM has
been used, the solution we try to find numerically is quite smooth. Therefore even on a
coarse mesh, a second order difference method can give quite accurate results. Also high
order methods, such us the pseudospectral method, can have excellent performance for such
problems. If a convertible bond is on a stock paying a continuous dividend, or a
convertible bond has a call feature or a put feature, then fast and accurate pricing of
such a bond is somewhat difficult because the problem involves free boundaries. Recent
work [Zhu, Ren & Xu, 1997] shows that the singularity-separating method [Zhu et al.,
1982 & 1988] can give highly-accurate solutions of the American options very quickly,
which also involve free boundaries. In this paper, we generalize this method, so that the
two-factor convertible bonds with such features can be evaluated in a similar way. |
89年5月15日 (星期一)
16:10-17:00
新數館308室
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