Numerical Simulation Of Option Pricing With Two-Asset

Numerical imitation of option pricing has come for a long tine, especially the numerical imitation of one asset option pricing which has many methods. For example, Monte Carlo, binomial tree, trinomial tree and finite difference method and so on. In this paper, firstly we give some basic methods for single-asset option pricing: binomial tree, trinomial tree and finite difference method. At the same time, we give numerical imitation with these methods and some examples and comparing the result.Base on the method of single-asset option pricing, we study the option pricing method of two- asset: lattice framework and finite difference method. We give a more directly efficient method for finite difference method. In this paper, base on trinomial option pricing we give the numerical imitation of finite difference method for two- asset maximal and minimal option pricing. By solving the block-tridiagonal matrices with pursuit method directly, we get the two-asset option price.Stochastic volatility is very important for option pricing. Option pricing of one asset with stochastic volatility has studied by people. But option pricing of two-asset or multi-asset with stochastic volatility has not studied. In this paper, we suppose income of asset price following the finite Markov chain. Then we get a lattice model of two-asset option pricing with stochastic volatility and giving a easy method. At last, we discuss preciseness and rationality of our method and showing a example.