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1、JournalofFinancialEconomics53(1999)313}351Theadaptivemeshmodel:anewapproachtoqe$cientoptionpricingStephenFiglewski!,*,BinGao"!SternSchoolofBusiness,NewYorkUniversity,NewYork,44West4thStreet,NY10012,USA"GraduateSchoolofBusiness,UniversityofNorthCarolina,Chap
2、elHill,NC27599,USAReceived20August1997;receivedinrevisedform13August1998;accepted1February1999AbstractMostderivativesecuritiesmustbepricedbynumericaltechniques.Thesemodelscontain`distributionerroraand`nonlinearityerrora.TheAdaptiveMeshModel(AMM)sharplyreduc
3、esnonlinearityerrorbygraftingoneormoresmallsectionsof"nehigh-resolutionlatticeontoatreewithcoarsertimeandpricesteps.Threedi!erentAMMstructuresarepresented,oneforpricingordinaryoptions,oneforbarrieroptions,andoneforcomputingdeltaandgammae$ciently.TheAMMappro
4、achcanbeadaptedtoawidevarietyofcontingentclaims.Forsomecommonproblems,accuracyincreasesbyseveralordersofmagnitudewithnoincreaseinexecutiontime.(1999ElsevierScienceS.A.Allrightsreserved.JELclassixcation:G13;C63Keywords:AdaptiveMesh;Optionvaluation;Latticemod
5、els;Barrieroptions;Numericalvaluationtechniques*Correspondingauthor.Tel.:212-998-0712.E-mailaddress:s"glews@stern.nyu.edu(S.Figlewski)qWewouldliketothankJingzhiHuang,NengjiuJu,MatthewRichardson,MartiSubrah-manyam,thereferee,seminarparticipantsatColumbiaUniv
6、ersity,theFieldsInstitute,HongKongUniversityofScienceandTechnology,theUniversityofMissouri,theUniversityofNorthCarolina,theUniversityofOklahoma,PennStateUniversity,TulaneUniversity,GoldmanSachs,MorganStanley,andmanyothersfortheirhelpfulcommentsandsuggestion
7、sonearlierversionsofthispaper.0304-405X/99/$-seefrontmatter(1999ElsevierScienceS.A.Allrightsreserved.PII:S0304-405X(99)00024-0314S.Figlewski,B.Gao/JournalofFinancialEconomics53(1999)313}3511.IntroductionClosed-formvaluationequationsexistforonlyasmallsubseto
8、fallpossiblederivativesecurities.Mosthavetobepricedbysomenumericalapproximationtechnique,suchasBinomialandTrinomiallatticemodels.Thesemodelsarewidelyusedbecausetheyareintuitiveandvery#exible.Itcanbepro
