Researching In Several Types Of Numerical Solution Of Exotic Options Pricing Model

Financial derivatives has developed into the main component of internationalfinancial，options-the center of gravity of the financial derivatives, has become the keyand difficulty point of the theoretical researchers.How to pricing options and how to getthe numerical solution of option pricing are two problems which must be solved. In orderto meet the special needs of various financial markets and investors, and to preventthemselves from various risks which they may face at the same time, people havedifferent characteristics of the design to create various options. The type is one of the twooptions and look back options, because they have the characteristics of path dependence,that makes both option more complex than standard option pricing;CEV model is anextension of the geometric Brownian motion; The CEV model of Asian option and lookback options pricing are the basic of this paper, because of the various practicalconstraints, the model equation becomes complicated, some scholars only gives theanalytical solution of the equations but didn’t got its numerical solution. In this paper,finite difference method was been used to study the CEV model under transaction costsand the underlying asset in the B&P geometric Asian option pricing model under theaction of the numerical solution of the problem and there are transaction cost under theCEV and underlying asset in the B&P back option pricing model under the action of thenumerical solution of the problem. Mainly to do the following:The first chapter briefly introduced the option pricing theory and development;The second chapter introduced the background of the research questions andresearch methods, mainly explained the finite difference method;The third chapter first introduced the CEV model under transaction costs and theunderlying asset in the B&P geometric Asian option pricing model under the action of: And transaction cost under the CEV and underlying asset in the B&P back under theaction of option pricing model:Use finite difference method to solve the numerical method for the model; Theirnumerical example is given to understand the effectiveness of the method.