简介:摘要:本文基于偏微分方程有限元法求解原理,运用Matlab中的偏微分方程工具箱(PDE Toolbox)对三类典型的二阶偏微分方程:椭圆型方程、双曲线型方程和抛物线型方程算例进行求解,为求解偏微分方程的提供参考。
简介:Abstract.WeobtainaBlack-Scholesformulaforthearbitrage-freepricingofEu-ropeanCalloptionswithconstantcoefficientswhentheunderlylngstockgeneratesdividends.TohedgetheCalloption,wewillalwaysborrowmoneyfrombank.WeseetheinfluenceofthedividendtermontheoptionpricingviathecomparisontheoremofBSDE(backwardstochasticdi~erentialequation[5],[7]).WealsoconsidertheoptionpricingproblemintermsoftheborrowingrateRwhichisnotequaltotheinterestrater.ThecorrespondingBlack-Sdxolesformulaisgiven.Wenoticethatitisinfacttheborrowingratethatplaystheroleinthepricingformula.