DG solver for one-factor and two-factor Black-Scholes models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F16%3A00007432" target="_blank" >RIV/46747885:24510/16:00007432 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/16:86099848
Result on the web
<a href="https://www.ekf.vsb.cz/share/static/ekf/www.ekf.vsb.cz/export/sites/ekf/mmfr-history/.content/galerie-dokumentu/2018/Proceedings/Part_I_finalni.pdf" target="_blank" >https://www.ekf.vsb.cz/share/static/ekf/www.ekf.vsb.cz/export/sites/ekf/mmfr-history/.content/galerie-dokumentu/2018/Proceedings/Part_I_finalni.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
DG solver for one-factor and two-factor Black-Scholes models
Original language description
Option pricing theory is a very important discipline which has a lot of applications in financial engineering. In this paper we focus on a single plain vanilla option pricing problem and its generalization for multi-asset options, especially in two dimensions. The main aim is to present a practical numerical scheme to solve a nonstationary PDE model arising from a classical Black-Scholes framework. This scheme is based on the discontinuous Galerkin (DG) approximation in spatial domain together with the theta-method for the time discretization, and leads to a sparse matrix system at each time level. One of the advantages of DG approach is a piecewise polynomial approximation that can better resolve possible discontinuities in solutions, the second one is a relatively easy implementation of hp-refinement. The presented DG solver is tested on several numerical benchmarks with real market data.
Czech name
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Czech description
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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)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II
ISBN
978-80-248-3994-3
ISSN
2464-6970
e-ISSN
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Number of pages
10
Pages from-to
323-332
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Jan 1, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000495792700040

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