Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F13%3A%230001130" target="_blank" >RIV/46747885:24510/13:#0001130 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1063/1.4854760" target="_blank" >http://dx.doi.org/10.1063/1.4854760</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4854760" target="_blank" >10.1063/1.4854760</a>

Result language
angličtina
Original language name
Analysis of the Discontinuous Galerkin Method Applied to the European Option Pricing Problem
Original language description
In this paper we deal with a numerical solution of a one-dimensional Black-Scholes partial differential equation, an important scalar nonstationary linear convection-diffusion-reaction equation describing the pricing of European vanilla options. We present a derivation of the numerical scheme based on the space semidiscretization of the model problem by the discontinuous Galerkin method with nonsymmetric stabilization of diffusion terms and with the interior and boundary penalty. The main attention is paid to the investigation of a priori error estimates for the proposed scheme. The appended numerical experiments illustrate the theoretical results and the potency of the method, consequently.
Czech name
—
Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
39TH INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE13), AIP Conference Proceedings 1570
ISBN
9780735411982
ISSN
0094-243X
e-ISSN
—
Number of pages
8
Pages from-to
227-234
Publisher name
AMER INST PHYSICS
Place of publication
Melville, NY, USA
Event location
Sozopol, Bulgaria
Event date
Jun 8, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000346051300025

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