美式期权定价 Finite Difference Method in American Option Pricing

basicly, it is applied the PDE method to transfer the PDE equation to heat equation then solve it...mainly considered for the boundary...

shihang0724 发表于 2012-7-13 03:10
请你仔细阅读1楼文字，如果有不认识的字可以问我。

奇怪了，不是你说可以问你的？

bobojin 发表于 2012-7-14 16:34
奇怪了，不是你说可以问你的？

我回答你了，让你有不认识的查字典。

zachery 发表于 2012-7-14 14:55
basicly, it is applied the PDE method to transfer the PDE equation to heat equation then solve it... ...

Actually, I think this paper doesn't contain any knowledge in transforming the Blach Scholes PDE to heat Equatiaon. It is a differential procedure applied directly on BS PDE.

irvingy 发表于 2012-7-14 11:58
http://users.jyu.fi/~tene/papers/reportB04-04.pdf

I like his papers a lot. By the way, Brennan an ...

Agree. But it is almost the easiest one to apply when the inverse matrix need to be figured out.

shihang0724 发表于 2012-7-16 20:37
Agree. But it is almost the easiest one to apply when the inverse matrix need to be figured out.

教科书上有的东西。。。。

...

_majia_ 发表于 2012-7-17 03:18
什么玩艺，教科书上有的东西，也拿出来显摆，还要收币。。。。

说实话，大部分教科书里用的有限差分法赶不上这篇文章里的

shihang0724 发表于 2012-7-17 04:15
呵呵，您有本事您倒是秀点玩意啊，别在这用个马甲就觉得自己是个玩意。

呵呵，你这个能发SCI吗？

_majia_ 发表于 2012-7-17 15:31
呵呵，你这个能发SCI吗？

笑了，果然是不识字的bobojin那主，说的跟自己是sci主编似的。ps，告诉你一声，我们混金融圈的，进大公司拿高薪叫牛逼。发sci？有本事你怎么不发WSJ啊。什么叫大公司？人家原名叫Goldman Sachs, 别出门逮谁跟谁说高盛，就算高盛人家中国分公司也叫高盛高华。

ps 感谢你长久以来对这篇帖子的支持，虽然你从头到尾提出的各种无关痛痒无病呻吟的质疑能够清晰的展示出你其实在我讨论的American Option Pricing 方面不懂。