关于时变波动率的美式期权定价matlab程序

Chemist_MZ 发表于 2013-6-5 12:21
Ha, maybe I express it too simple.

Yes, in that case, we have to reconstruct the binomial tree  ...

Thank you.
Is my previous solution right？Perhaps，in this case，PDE method is better than Tree method，a PDE method for time varying volatility is similar with the PDE method for constant volatility.If sigma(t) is a more complicated function of t，PDE maybe the best choice.

xuruilong100 发表于 2013-6-5 16:54
Thank you.
Is my previous solution right？Perhaps，in this case，PDE method is better than Tree ...

I can't find your previous solution.

Yes, you are right. Finite difference in this case is better.

谢谢分享