Numerical pricing of European basket options with discrete barrier via the discontinuous Galerkin method

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F16%3A00004020" target="_blank" >RIV/46747885:24510/16:00004020 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Numerical pricing of European basket options with discrete barrier via the discontinuous Galerkin method
Original language description
This paper extends the results from the authors' previous research on a single plain vanilla option pricing problem by discontinuous Galerkin method. By contrast, we focus here on options, whose payoff depends on two distinct sources of randomness and is conditional on a barrier activating at discrete time moments. The developed numerical scheme for pricing of such options is based on the discontinuous Galerkin method, which is a suitable tool for the analysis of a priori discontinuities in the solution due to the discrete monitoring. Several barriers are discussed and the resulting algorithm is verified on experiments with real market data. The first author acknowledges support provided within SGS Project: Modern numerical methods III, financed by TU Liberec. However, the student's involvement in the composition of this article was not high, so her name is not listed in the team of authors.
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-IV
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
11
Pages from-to
385-395
Publisher name
VSB TU Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Jan 1, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000376799500044

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