通常情况下, 期权定价研究都假定股票价格的波动率和期望收益率为常数. 假定波动率和期望收益率为股票价格的一般函数. 利用体积有限元方法研究了美式期权定价模型下的Black-Scholes偏微分方程, 获得了美式期权所满足的较高精度的隐式差分格式,最后, 给出了该方法的误差估计.

In the previous option pricing research, it is typically assumed that the stock volatility and expectation return rate are constant during the life of the option. In this paper, we assume that the stock volatility and expectation return rate in our option valuation model are function of stock. By the finite volume element method, the high accuracy implicit procedure calculations for American Option are obtained. Finally, the error estimate is given.