
Numerical method of financial product pricing linked to gold
ZHEN Lijun, ZHANG Xingyong, NIU Chenghu, LI Wei
2011, 2011 (5):
2532.
For the problem of price a financial product linked to the gold pricing which has the property of double barrier options，this article provided an improved CrankNicolson calculation method to get the numerical solution, then verified the feasibility of this method via Matlab.This method, combined with the Pade schemes in the theory of semigroup operators, not only handled the problems of divergent near the obstacles spots, but also retained the strong advantages of high precision and stability of the CrankNicolson method. On this basis, the paper discussed the influence of the price of the product with different market volatility, interest rates and the riskfree rate. Finally, the numerical examples indicate that this method coincides the actual situation well.
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