论文标题
Leland模式的数值解决方案的有限元方法
A Finite Element Approach to the Numerical Solutions of Leland's Mode
论文作者
论文摘要
在本文中，将有限元方法应用于Leland的模型，以模拟交易成本的期权定价。基于P1和/或P2元素的空间有限元模型与曲柄 - 尼科尔森型时间方案结合使用。时间方案是使用Rannacher方法实施的。提供了几组参数值的示例，并将其与文献中的有限差异结果进行了比较。可以观察到空间网格大小比率，以控制我们方法的稳定性。我们的结果与模型文献中的有限差异结果相比。
In this paper, finite element method is applied to Leland's model for numerical simulation of option pricing with transaction costs. Spatial finite element models based on P1 and/or P2 elements are formulated in combination with a Crank-Nicolson-type temporal scheme. The temporal scheme is implemented using the Rannacher approach. Examples with several sets of parameter values are presented and compared with finite difference results in the literature. Spatial-temporal mesh-size ratios are observed for controlling the stability of our method. Our results compare favorably with the finite difference results in the literature for the model.
