• 论文 •

### Bates模型下一种美式期权高阶紧致有限差分定价方法

1. 1. 广东工业大学经济与贸易学院, 广州 510520; 2. 广东工业大学管理学院, 广州 510520
• 出版日期:2017-02-25 发布日期:2017-04-01

SUN Youfa, DING Lutao. High-Order Compact Finite Difference Scheme for Pricing American Options Under the Bates Model[J]. Journal of Systems Science and Mathematical Sciences, 2017, 37(2): 425-435.

### High-Order Compact Finite Difference Scheme for Pricing American Options Under the Bates Model

SUN Youfa1, DING Lutao2

1. 1. School of Economics and Commerce, Guangdong University of Technology, Guangzhou 510520; 2. School of Management, Guangdong University of Technology, Guangzhou 510520
• Online:2017-02-25 Published:2017-04-01

In this paper, we propose a novel numerical scheme for pricing American put options under the Bates model, basing on the high-order compact discretization of Jain (HOCJ), convolution integral and FFT. The new scheme is, namely for short, HOCJ-CF. For the differential terms of option pricing PIDE, we split them into three sub-PDEs and then apply the Numerov discretization to them, thus, deriving an HOCJ scheme with fourth-order accuracy in space and second-order in time. For the integral term, we transform it into a convolution integral which is then computed by the fast Fourier transfrom (FFT). Numerical illustration demonstrates that, on the same space grids, our HOCJ-CF scheme has a better accuracy, faster convergence rate and higher efficiency than the IMEX scheme under the same model settings.

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