Adaptive wavelet method for the Black-Scholes equation of European options
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F16%3A00000522" target="_blank" >RIV/46747885:24510/16:00000522 - isvavai.cz</a>
Result on the web
<a href="http://mme2016.tul.cz/index.php?page=conferenceproceedings" target="_blank" >http://mme2016.tul.cz/index.php?page=conferenceproceedings</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Adaptive wavelet method for the Black-Scholes equation of European options
Original language description
We use the Black-Scholes model for calculating the price of European put and call options on a basket of assets. The explicit solution of the Black-Scholes equation is known only for some special cases, otherwise it has to be solved numerically. We present the numerical method based on wavelets for an adaptive solution of the Black-Scholes equation. We use several quadratic and cubic spline wavelet bases. Wavelets are very-well known for their compression property. It means that the representation of the solution in a wavelet basis requires a small number of coefficients and the computation of the solution with desired accuracy can be performed with the small number of degrees of freedom. Furthermore, this method enables high-order approximation, the system of linear algebraic equation arising from discretization is well-conditioned and the number of iterations for computing the solution is relatively small. A numerical example is presented for the two-dimensional Black-Scholes equation with real data.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)
ISBN
978-80-7494-296-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
120-125
Publisher name
TECHNICAL UNIVERSITY LIBEREC, STUDENTSKA 2, LIBEREC, 00000, CZECH REPUBLIC
Place of publication
Liberec
Event location
Liberec
Event date
Jan 1, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000385239500021